From Wikipedia (don't click the links if you don't want spoilers):
The Doll's House (collecting
The Sandman #9-16, 1989-1990,
ISBN 0-930289-59-5): Morpheus tracks down rogue dreams that escaped the Dreaming during his absence. In the process, he must shatter the illusions of a family living in dreams, disband a convention of serial killers, and deal with a "dream vortex" that threatens the existence of the entire Dreaming.
Dream Country (collecting
The Sandman #17-20, 1990,
ISBN 1-56389-016-X): This volume contains four independent stories. The imprisoned muse
Calliope is forced to provide story ideas, a cat seeks to change the world with dreams,
Shakespeare puts on a play for an unearthly audience, and a shapeshifting immortal (obscure DC comics character
Element Girl) longs for death.
Season of Mists (collecting
The Sandman #21-28, 1990-1991,
ISBN 1-56389-041-0): Dream travels to Hell to free a former lover, Nada, who he condemned to torment thousands of years ago. There, Dream learns that
Lucifer has abandoned his domain. When Lucifer gives the Hell's key (and therefore, the ownership of Hell) to the Sandman, Morpheus himself becomes trapped in a tangled network of threats, promises, and lies as gods and demons from various pantheons seek ownership of Hell.
A Game of You (collecting
The Sandman #32-37, 1991-1992): Barbie, a New York divorcée, travels to the magical realm that she once inhabited in her dreams, only to find that it is being threatened by the forces of the Cuckoo. This series introduces the character of Thessaly, who will play a key role in Morpheus' eventual fate.
Fables and Reflections (collecting
The Sandman #29-31, 38-40, 50,
Sandman Special #1 and
Vertigo Preview #1, 1991, 1992, 1993): A collection of short stories set throughout Morpheus' history, most of them originally published both before and after the "Game of You" story arc. Four issues dealing with kings and rulers, were originally published under the label
Distant Mirrors, while three others, detailing the meetings of various characters, were published as the
Convergences arc.
Fables and Reflections also includes the
Sandman Special, originally published as a stand-alone issue, which assimilates the myth of
Orpheus into the Sandman mythos as well as a very short Sandman story from the
Vertigo Preview promotional comic.
Brief Lives (collecting
The Sandman #41-49, 1992-1993): Dream's erratic younger sister Delirium convinces him to help her search for their missing brother, the former Endless Destruction, who left his place among the
family three hundred years before. However, their quest is marred by the death of all around them, and eventually Morpheus must turn to his son Orpheus to find the truth, and undo an ancient sin.
Worlds' End (collecting
The Sandman #51-56, 1993): A "reality storm" strands travelers from across the cosmos at the "Worlds' End Inn". To pass the time, they exchange stories.
The Kindly Ones (collecting
The Sandman #57-69 and Vertigo Jam #1, 1994-1995): In the longest
Sandman story, Morpheus becomes the prey of the
Furies, avenging spirits who torment those who spill family blood.
The Wake (collecting
The Sandman #70-75, 1995-1996): The conclusion of the series, wrapping up the remaining loose ends in a three-issue "
wake" sequence, followed by three self-contained stories.
