It is horror/fantasy, and the main series is ten volumes, of which my favorite is probably Volume 7:Brief Lives. The series gets pretty gruesome at times, but it’s not the dominant tone of the series; it is, however, disturbing enough that I don't recommend it if you're really averse to horror. (I also really loved vol. 4: Season of Mists and vol. 9: The Kindly Ones.) There are several spinoffs. My favorite of those is probably The Dream Hunters. There are also several comics in a new series called Sandman Universe, written by other writers.
My favorite character is Morpheus, my second favorite character is either Death or Delirium, and my favorite character who is not one of the Endless is probably Hob Gadling, the man who lives forever for no obvious reason.
My favorite short stories in the series:
Men of Good Fortune (vol. 2, The Dolls House)
A Midsummer Night’s Dream (vol. 3, Dream Country)
Thermidor / Ramadan, (vol. 6, Fables & Reflections)
The Dream Hunters (published in its own volume)