A comic-book series by NeilGaiman. It ran for 75 issues and focused on the title character, Dream, sometimes called Morpheus. Dream is one of the Endless; his brothers and sisters are Death, Destiny, Desire, Delirium, Despair and Destruction. 

Not a super hero title, it invariably gets lumped in with horror. In reality it is mostly literary fantasy with some horror elements. Critically acclaimed. Sandman #19, "A Midsummer Night's Dream" won the World Fantasy Award for Best Short Story in 1991, making it the first comic to win a literary award.

''And the last one, as the rules have changed after Neil won the prize.''

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There was at least one ''Sandman'' series that preceded Gaiman's revival of the character, and there are a few connections between the old series and the new. See the Sandman annotations at http://theory.lcs.mit.edu/~wald/sandman-index.html, particularly those for "The Doll's House" storyline.

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One of the ComicBooksToConsider.