The first film is the hardest, because you somehow have to combine the important events from P&N (his capture, but the rest should be avoided, we don't need to see Morpheus going on a quest to find his junk), DH (Lyta Hall and Daniel, Rose Walker, Gilbert, Corinthian #1), and SoM (Lucifer leaving, Loki being set free). I also think that Calliope has to be in there somewhere (perhaps split it up. show her prediciment in the begining and Sandman rescueing her at the end? It has to be in there though). I don't think there's really enough time to deal with Nada, sucky as that is, so Calliope has to make up for her absence (she's also nessecary because of Orpheus). I would also change the apartments line-up as follows: Rose, Lyta, Gilbert, Thessaly, Wanda. I'm still working this one out. I'll write more later.
The seconed movie should open with the Orpheus and Euridice story. It should then go into Brief Lives.
The third movie should open with A Midsummer Night's Dream, go into The Kindly Ones, and end with The Tempest.
Nowhere near as in depth as the comics, but the main story does get across. Unfortunatly, I can't think of any way to bring Hob Galding into the movies. I had the thought that each DVD should contain certian shorts (ie. the first one would have Men Of Good Fortune while the third would have an abridged version of The Wake) in the special features section. Other than that, there just isn't enough time and you really can't make this longer than a trilogy.