I tried reading this a few months ago, but I put it down after issues #1 and #2; I thought it was painfully slow. However, I read issue #3 last night (Morpheus and a certain crook from across the pond), and I thought that issue was fantastic. I'm eager to read the rest of it now, and I may skip the trades I need and just jump straight to the omnibus.
I'd suggest that the OP at least give the book a try; at $15 for the first trade, you can turn that back around no problem if you don't like it.
Sandman is my favorite comic of all time. I was a big mainstream comics reader as a kid, prompted by my dad who himself loved comics as a child. As I finished high school I found myself becoming disenchanted with superhero comics. I had read enough at that point to see that any major change would eventually be undone or retconned in some way (with a few exceptions), and that nothing about these stories was permanent or lasting, because the publishers always needed new stories with the same heroes. So I stopped reading comics, pretty much entirely.
I ended up working at a Borders one summer, and we were selling this deck of Sandman tarot cards. I didn't know what it was, but the imagery was fascinating, and I noticed the DC logo on the box. On a lunch break, I went to the comic book section of the store, which was far off in a corner and not frequently visited. I saw we had most of the Sandman tbp's, so I sat down and began to read them. I was hooked from the first issue, and suddenly my reason to go to work was not to get paid, but so I could take my lunch break in the comic book section and read the next Sandman story. It was the first time I realized that comics could be more than superheroes, and opened me up to a larger world of more mature and imaginative comics (not to say that superhero comics are worthless).
Since then, I bought the old collection of 10 graphic novels, then the Absolute Editions, and even the Annotated Sandman books that have been coming out. I consider it to be the pinnacle of comics to date, with Alan Moore's run on Swamp Thing coming in second. The layers of theme, meaning, allusion, and imagination that Gaiman weaves throughout the series is truly astonishing. The breadth of Gaiman's knowledge, and the way he works it into his writing, reminded me of Carl Jung, or even Milton. The subtle changes in tone and character, the foreshadowing that doesn't even feel like foreshadowing, the way he manages to take disembodied concepts and give them form and life, are all masterfully done.
I read all of Sandman once a year at minimum, sometimes two. It's probably the closest thing to a religious experience I'll ever have. Every time I've read it I've found something new, some hint or tip that Gaiman put in there that I missed, and it always surprises me. It's absolutely worth looking into if you feel that superhero comics aren't giving you all that you want from the medium.
Lately I've been trying to go back and read various runs and titles that I've been hearing about for years but just never picked up. I'm currently working my way through the Hellboy Library Editions and the Judge Dredd Case Files, but I think the Absolute versions of Sandman are next on my list.
This thread definitely gets me amped to check it out.
The Sandman premise did not appeal to me either, but I gave it a shot and read the whole thing as soon as I was able. The 4th TPB (Seasons of Mist) is one of the greatest work in comics. Think of it as a fairly tale for adults.
I have to admit I am a little jealous, I wish I could erase the memory of The Sandman series from my brain and read it again for the first time.