The things about The Sandman that I recall the most fondly aren't what most others think of. In my experience, an overwhelming percentage of readers are quick to talk about the characters, or the strength of writer Neil Gaiman's voice. I definitely can't argue against either of those, but what I really appreciated about The Sandman was Gaiman and his artists' ingeniously subtle tricks with symbolism and structure. The big points were always echoed in some very clever ways that never disrupted the natural flow of the story to point out how ornate the plot actually was.
Gaiman and J.H. Williams III have managed to condense pretty much all the major themes of the seventy-five issue run of The Sandman into The Sandman: Overture.