Preludes and Nocturnes is weird - it's the one I have, and I keep meaning to buy the rest. A friend had the entire collection, and I read through them; what you get with the first book is Gaiman & Team "finding their feet", so to speak, and it's only "The Sound of her Wings" where tthey really find their style.

(That's not to say the other stories aren't good, but it's that point on at which the Sandman becomes, well, Gaimanesque.)

It's well worth continuing with, for spotting all the obscure cultural references for a start.