During Dream's quest to reclaim his tools, he travels to Hell so as to confront a demon who had claimed his Helm. Dream is forced to duel with the demon through use of symbolism ("I am a snake..." "I am a mongoose, which kills the snake..."). When the demon gets up to "I am all-encompassing destruction, and the end of all that is," Dream simply responds "I am hope." The demon can't think of anything to top that.
And when Lucifer threatens to imprison Dream in Hell, just for theHell of it, Dream reveals that Hell cannot hold dreams: "What power would Hell have if those imprisoned there were not able to dream of Heaven?" Dream walks out of Hell untouched.
When Dream defeats Dr. Destiny. Destiny believes he's killing the Dream Lord by destroying the Ruby, when in fact he unleashes all the power Dream had placed within the Ruby to control the realm of dreams. Morpheus wins... by seemingly losing the fight.
During Season Of Mists story arc, where Dream determines to travel to Hell once more to free his imprisoned lover Nada. Knowing that Lucifer swore his destruction should he return, Dream still makes the attempt, even giving Lucifer due notice that Dream was coming. Dream is shocked to arrive in an emptied Hell, as Lucifer uses the occasion to abdicate his throne... and leave the ownership of Hell to Dream to dispose of. "Perhaps it will destroy you," he says, "perhaps it will not. But I doubt it will make your life any easier." Then he vanishes, laughing.
Morpheus's gift to Joshua Norton I, Emperor of these United States and Protector of Mexico deserves mention, as does saving Calliope.
One word, from the first issue: "Shush." That line more or less single-handedly made me a fan of the series.
At the end of The Doll's House arc, Dream is furious enough that Desire has to remind him that they are siblings (and as we later see, harming family brings the Kindly Ones down on you). Dream then pulls Desire's hair back and very calmly says "Mess with me or mine again and I will forget that you are family, Desire. Do you believe yourself strong enough to stand against me?" Desire, who has been treating their confrontation as a joke until then, takes the threat completely seriously.
Dream's Curb-Stomp Battle against Azazel when the latter is enraged by a decision Dream made and thinks he has consumed him and is preparing to devour his soul, only to discover that he is now in a bottle in Dream's hand. Dream did not escape from him and then suck him into the bottle or anything, he simply caused reality to restructure itself so that he was free and Azazel wasn't. He then asks the assembly of gods and demons if anyone else has a problem with his decision. Wisely, they do not.
Dream's appearance at the end of A Game of You, where he arrives in the skerry through which the protagonists have been struggling for days, and simply unmakes it. It is no challenge for him in any way, he simply erases the land and everyone in it, ending the tiny world with perfect dignity - and it does look tiny when compared with the majesty of Dream. Even though we already knew in theory that he was pretty much omnipotent within the Dreaming, we had so far only seen minor glimpses of his power, but this is the moment where the extent of his might is truly driven home in one of the most literal examples of a Deus ex Machina you'll ever see.
The awesome is compounded a moment later when he offers Barbie a boon, and when she asks him if he would be able to recreate the entire land the way it was before, complete with the resurrection of all her friends, he casually says "Certainly," without any sign that it would be difficult or tedious for him.
We do not often see Dream furious. But when he finds out what Brute and Glob have done...
Dream:They know the law. My law. And they have wantonly defied it. Did they think they could hide from me? I do not know what game they are playing. But I know this. I am angry, Lucien. And it's my move.
A moment that's quite small in one way, but massive in another way because of how weak Dream was at the time: in Soft Places (one of the stories in Fables and Reflections,) a young Marco Polo meets Dream in a time-warping desert right after the latter has escaped from Burgess and is so weak he can barely do anything. Without hesitation, Marco gives Dream some of his precious water (pretty awesome in itself, considering he was running the risk of dying of thirst), and asks if Dream can send him home. Dream says that he might not have enough power left to help himself if he helps Marco, but helps him anyway, because Marco offered him help and Dream always repays his debts and does what his code of honour tells him, even if it's to his own detriment. While it's a Foregone Conclusion that he'll make it back to his castle, the fact that he collapsed and had to be carried to Cain and Abel's house by Gregory the gargoyle shows just how close Dream came to really finishing himself off by helping Marco.
His big sister Death got hers in her first appearance, telling off Dream spectacularly and quoting Mary Poppins, plus making bread go "bip" (It Makes Sense in Context).
Or when the thus-far unstoppable Kindly Ones back off the moment she, usually a cheery (anthropomorphic)person(ification), gets pissed. Beware the Nice Ones gets kind of an extra effect when the nice one happens to be Death.
At the start of Season of Mists she very calmly tells Desire to shut up if s/he ever wants to speak again. Desire obeys immediately.
Baby sister Delirium tells Destiny, eldest of The Endless, to more or less shove it. This from the girl who is all too happy to make flying frogs and chocolate people, talk to fish, and forget to pay attention to gravity. When she gets serious, she's as scary as an angry Death.
All the more awesome when you stop to consider that in order to do that, she has to force herself to not be herself.
It's actually a bit more awesome than that: for the younger Endless, meeting the other half of your responsibility's coin? Seriously messes with you. Delirium, however, can switch the Sanity on, even if it hurts... and, then switch it back off. Plus, she gets away with it. She's already paid the price and that's her tragedy; but, the result is full-on awesome, as well. Death seems the only one able to switch her opposite side on at will without abdicating... and, even she has that once-a-century price attached to that.
For the Sandman series itself, it's the most highly regarded Vertigo title ever.
A Midsummer's Daydream was the first (and last) comic to win the world fantasy award for best short story. The rules were changed to prevent it happening again.
Joshua Norton fending off Desire's attempts at seduction through a Snake Oil Salesman offering him the most beautiful women, starting to describe them in ever more disturbing detail. Joshua gets angry... at how inappropriate the conversation is.
Mervyn's Dying Moment of Awesome, taking a machine gun to the Kindly Ones. "I'm your worst nightmare. A pumpkin with a gun."
Nada tells Dream exactly what she thinks of his haughty, jaw-droppingly inadequate apology ("I think I might have acted wrongly. I think perhaps I should apologise," doesn't really cut it when what you've done is send someone to hell for ten thousand years simply for wounding your pride). She tells him he makes her sick and slaps him in his own domain, fully aware of how powerful he is and the extent of his temper. Dream draws himself up and tries to be furious and she stares him down. His next apology is far more contrite. It's very clear why Nada was once a queen and why these two were once lovers.
Hob Galdling in his last story. He's had every suffering, misery and guilt 500 odd years can throw at him and has discovered that his only constant friend through all that is gone...and still wants to keep going.
When Lucifer quits and leaves Hell, a few rogue demons refuse to believe that Lucifer is really who he says he is, and ask increasingly aggressive rhetorical questions about whether the lord of Hell would do something like this. Lucifer's response is, quite calmly, "The lord of Hell will do what he damn well likes. Leave. Now. All of you." They do.
The reincarnated Corinthian gets one when he not only sees straight through Loki's deception (which had Matthew fooled,) but then strangles the god unconscious, despite the latter shapeshifting into various forms to escape, and failing to get more than a slight "Ow" when he turned himself into fire.