I started reading Sandman for the first time in the new collected editions. Some of the weirdest and most off-putting issues come early on, so if you get past those you'll get invested in Dream's story. Gaiman plays with a bewildering range of tones, genres, and subject matter--from cats to Shakespeare to serial killers--as the story is largely episodic. The art is purposely kind of rough, which isn't my style but you get used to it.