As a comics creator, Gaiman has produced several gems. With Dave McKean, he has done these graphic novels: Violent Cases, Signal to Noise, and Mr. Punch, as well as The Books of Magic, which many cited as the first incarnation of a Harry Potter type character, and Black Orchid. But his SANDMAN series is something special. Erudite, complex, and ambitious, SANDMAN is undoubtedly the finest writing the comic industry has ever seen. It tells the story of Morpheus of the Endless, also known as Dream. Originally released as a monthly, all of the seventy-something issues have been collected in a series of graphic novels:
Preludes & Nocturnes
The Doll's House
Dream Country
Season of Mists
A Game of You
Fables and Reflections
Brief Lives
Worlds' End
The Kindly Ones
The Wake
Which complete Dream's story arc as Gaiman covers most of the 20th century and throws in scads of flashbacks as well.
Another of the Endless, Dream's elder sister, Death was a hugely popular character and got her own graphic novels:
Death: The High Cost of Living
Death: The Time of Your Life

I recommend these stories to anyone who ever thought comics were just kid stuff.