I will start by saying that this is an absolutely gorgeous book. It's a compilation that was obviously done with great care and attention to detail, and as a result it has a very imposing physical presence. I found myself checking if my hands were clean before picking it up to read (and I'm not kidding).
What to say about the comic itself... "Sandman" is fantastic, quite different from what I got used from a comic book (and it must have been quite ground-breaking at the time it came out). I started reading Watchmen at the same time I was reading The Absolute Sandman, Vol. 1, and found myself comparing the two. While Watchmen is undoubtedly much more political and thought-provoking (and also quite original in its storytelling), Sandman is a lot more subtle. It's an intricate world of fantasies, of metaphors and of symbols. I could read only one story at the time, and after a while I figured out why. I found myself being unable to fully appreciate all the little details, references and symbols, because there were so many. Thus, I slowed down (and good thing I did), making this the book that has taken me the longest time to read in my life.
The final part of the book is dedicated to the making-of the comic, and is really an excellent read. I enjoyed immensely going through the whole issue of "A Midsummer Night's Dream", step by step, with the quirky commentaries of Neil Gaiman to the illustrator.
The artists that collaborated on this book are all very talented. I have a soft spot for Dave McKean's work, and his issue covers were another thing that made me love this book. If you like comic books, then I heartily recommend you get your "clean" hands on this.