The original Sandman series crossed over with the main continuity as late as the final arc, and featured some mainstream characters as major influences -- most notably Doctor Destiny, Jack Kirby's Sandman, and Fury. And as recently as the Black Ring saga in the pages of Action Comics in 2010, Gaiman's Death appeared as an important character in DC's cosmology.
The New 52, however has featured no reference to any of the characters in Sandman's canon (with the exception of Martian Manhunter) and no references have been made to Gaiman's mythos (to my knowledge). Gaiman is writing Sandman again, but it seems it will be under the Vertigo banner. Will Sandman be realized as part of the New 52's cosmology, like Constantine, Swamp Thing, and Animal Man, or is it to remain apart?