I started reading the Sandman collections in the order that I was able to find them at the local libraries, which let me tell you is not optimal for figuring out what the overall story is supposed to be about.

It was enough to get me to go buy the collections one graphic novel at a time, one every week or two, in the proper order. That's not bad; the series rewards several re-readings to spot things missed the first time through and it's much easier to follow developments.