Sandman came out after I dropped out of the comic book scene.
This is me as well, and I wouldn't have known anything about it if a friend hadn't clued me in a few years ago. The Gaiman series apparently ran around 75 comics, which fill up around 10 volumes in trade format, or nowadays you can get them in four mega-volumes. I recommend the individual volumes.
1. Preludes and Nocturnes collecting The Sandman #1–8
2. The Doll's House collecting The Sandman #9–16
3. Dream Country collecting The Sandman #17–20
4. Season of Mists collecting The Sandman #21–28
5. A Game of You collecting The Sandman #32–37
6. Fables and Reflections collecting The Sandman #29–31, 38–40, 50
7. Brief Lives collecting The Sandman #41–49
8. Worlds' End collecting The Sandman #51–56
9. The Kindly Ones collecting The Sandman #57–69
10. The Wake collecting The Sandman #70–75
Season 1 of the TV series is supposed to be essentially books #1 and #2. As I said, they feel very much like Amber to me and I know that Gaiman was one of the couple of authors (along with GRR Martin and Steve Brust) who were top candidates to write Amber stories before John Betancourt was selected. Gaiman, Martin, and Brust were all friends of Zelazny and chose to respect his wishes that no one write in the Amberverse, but I really wish either Gaiman or Brust had taken them up on it. (Not so much Martin, IMO.)