Wow. I got so happy when I saw this thread. I absolutely love his work. I actually am probably about the ONLY Neil Gaiman fan that HASN'T read the Sandman comics yet, simply because I haven't had the money to go buy them!
I have read American Gods- It's AMAZING. Possibly, by far, my favorite. I have read TONS of his books, I think.
And, because I have absolutely nothing better to do, I feel I shall post a list of all of his books that I have read in order of most awesome in my opinion.
1. American Gods
2. Good Omens
3. Anansi Boys
4. The Sandman - Dream Hunters (Okay, so I lied, I forgot about this one.)
5. Stardust
6. Neverwhere
....Um, I guess that's not TONS, but I've read a good number. I really do think American Gods is his masterpiece right now. And Good Omens is definitely fantastic. Great for anyone questioning the truth behind the run of the mill Christian Doctrine that so many take way more literally than they should.
On that note, another great book for those reading in that topic is Lamb by Christopher Moore - Funny in the same way that Good Omens is, but by far a little bit more sacrilegious.