These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Ensemble Darkhorse: Lots and lots, though given the size of the cast that's not surprising. Lucifer, Death, Hobb, Matthew, Mervyn, and Fiddler's Green all have particularly noteworthy fanbases.
Growing the Beard: Gaiman's editor has said that she believes issue #8 ("The Sound Of Her Wings") to be this.
Also Gaiman himself; he had a hard time figuring out the characters early on, and found the need to attach the series to the DC Universe very awkward. Issue 8 was the first time he really felt he'd gotten it right.
I Am Not Shazam: A strange case. "The Sandman" is just one of countless names that Morpheus is known by, but he's never actually called this except for one brief instance in issue #3. The name is mostly just used to maintain a tenuous connection to the original superhero from the 1930s. Strangely, he is always called "The Sandman" in the script of each issue.
Older Than They Think: The series started as an attempt to reinvent the Golden Age superhero, the Sandman, but went on its own merry way. Its popularity led to a revival for the original hero, though (Sandman Mystery Theatre ran almost as long as the Gaiman Sandman did).
They Wasted A Perfectly Good Line Art: Applies to much of the art, but most especially the amazing artwork from "The Season of Mists"; Ty Bender's non-fiction "Sandman Companion" featured excepts of the same artwork without the hideous colouring, and the difference is astonishing.
What an Idiot: Cluracan pretty much runs on this trope.
What Do You Mean, It Wasn't Made on Drugs?: Okay, so Volumes 1-10 can be pretty surreal, but the Delirium and Despair chapters of Endless Nights are barely comprehensible.
The Woobie: Poor Nuala; sold out by the fairies, summarily ignored by Morpheus, dismissed peremptorily with a broken heart, treated like crap, and then the poor thing goes and accidentally helps her crush kill himself.
