Desire naturally comes across as evil and petty, making it an obvious villain. Given, however, that the personality of each Endless is to some extent a reflection of their function and not easily changed, Desire might be understood not as malevolent, but rather amoral. Much like Delirium is insane, Destiny is indifferent or Dream is aloof, Desire is as reckless, volatile and cruel as desire itself.
Gaiman himself stated that Desire was an antagonist mainly because Dream was the protagonist; a story told from Desire's point of view might very well make Dream a villain. Desire's chapter in Endless Nights gives us something of a look at what that would be like.
Remiel is a perfectly capable ruler of Hell. While he's pompous and switching Hell's goal from "punishment" to "redemption" is seen as tediously unnecessary and a sign that he's incompetent at his job; in actuality he's still fulfilling the same role as Lucifer, keeping the damned souls in the tortuous afterlife as intended. When the damned claim that the idea that they're being redeemed rather than punished "makes hell worse," it could just be a new type of suffering rather than an inability to understand how Hell's "supposed" to run.
Author's Saving Throw: Hell being ruled by a triumvirate when Dream first goes there was editorially mandated; they didn't want Lucifer ruling Hell alone because it would contradict an ongoing Hellblazer arc. When Dream goes back a little later in "Season of Mists" and Lucifer is the sole ruler, he says he let demons play games and declare themselves rulers mainly just to relieve the boredom (and says he could probably have destroyed every demon in Hell without much trouble).
Broken Base: When it was first released, "A Game of You" got a very chilly reception from much of the fandom for veering away from the series' larger plot to focus on the adventures of a handful of smaller characters, only a few of whom had any connection to previous arcs. Plus it's kind of depressing, Anvilicious, and has a Downer Ending. On the other hand, it featured some of the few sympathetic LGBT characters available in comics at the time and earned Gaiman an award from GLAAD.
Complete Monster: Doctor Destiny: Real name John Dee, under his frail persona lies a sadistic mind rapist. Preferring to fight by targeting heroes in their dreams, Dee was also a vicious murderer. Starting off as a foe of the Justice League of America, his most infamous deeds come from Neil Gaiman's "Master of Dreams" storyline from The Sandman. After escaping an asylum, Dee wins a kind woman's sympathy and later murders her before taking up refuge in a diner and using his new toy, a ruby belonging to Dream of the Endless. Dee uses the ruby to have a child's television show host demonstrate how to slit one's wrists, and causes people all over the world to become Driven to Madness. He then, over the course of hours, tortures the minds of the 6 people in the diner. He forces them to worship him, have sex with one another, abuse one another and horrifically mutilate themselves, subjecting them to horrific pain, mental torture and humiliation, occasionally returning their minds to them so they can comprehend what he is doing simply because he can. Dee makes them worship him before having them kill themselves, even trying to destroy Dream so he may make himself master of the world and repeat the process over and over.
Ensemble Dark Horse: Lots and lots, though given the size of the cast that's not surprising. Lucifer and Death are probably the standout examples (in no small part because they both eventually got their own books for a while, driven by fan demand, and have made fairly significant appearances in works even outside of those books and Sandman), while Hob Gadling, Matthew, Mervyn, Fiddler's Green and Thessaly/Larissa also all have noteworthy fanbases.note Thessaly is a bit ironic, and frustrating, for Gaiman, as she was actually based on someone he knew and disliked, but he made Thessaly too interesting, powerful and show-stealing (and to some tastes, possibly too cute) in her debut. Gaiman never wrote more Thessaly material after concluding the original Sandman run, but accepted that others would pick up the character and run with her popularity.
Wanda was a character explicitly stated to be transgender, back in a time (1991-92) when transgender characters virtually never appeared in comics, much less in a positive capacity, and at the very beginning of (Anglo-American) cultural acceptance that the concept of being truly transgender even existed. Now that transgender characters (never mind people, in a public capacity) are more common and understood, her character tends to be examined much more closely, particularly the fact that she dies (a common fate for gay and transgender characters). For his part, Gaiman based Wanda on a trans woman he actually knew at the time (Thessaly was based on one of her critics, who he disagreed with), and said that he wouldn't write her the same way in the 21st century. But he's still proud of her, and she's undeniably a good, loyal friend to Barbie, and Barbie treats her like the woman she knows she is.
Also of particular note is the moment when Wanda is denied passage on the Moon's road because she is not biologically female. The fact that it's not a human making this call but rather a larger, more ineffable cosmic entity can come across as a little harsh.
The end of that storyline can also rub people reading later the wrong way - with Barbie seeing, in a dream, Wanda hanging briefly with Death on her way to what comes after, and Wanda being "drop dead gorgeous" in a very classically feminine way. In the 21st century that can cause annoyance (as it seems to support the notion that trans women must conform to "traditional" femininity to be considered women) but as noted above, the mere acknowledgement that Wanda's soul was unquestionably that of a woman, an absolute statement that Wanda was a woman, was itself unheard of not just in comics but in media at large and was a powerful, important moment that contributed to Gaiman winning acknowledgement from GLAAD. And Gaiman likely made her very feminine just to make absolutely sure the point got driven home to those who needed it, in 1992, with a big, fat, dream-dust-conjured hammer.
Part of Barbie's monologue during this - her describing Wanda as "[having] nothing camp about her, nothing artificial" - can set people on edge twenty-five years later. In 1992, however, that is, quite simply, the way nearly anyone would have described the contrast.
On a different tack, the "ethnic" stories. Both then and now, the entire point was to show that everyone dreams, that Dream is much older than the USA (or UK) and that not all the action has to happen on the U.S. eastern seaboard, which is a pretty commendable effort compared to Sandman's contemporaries (or even many efforts afterward). In the 21st century, though, it's hard not to notice that a lot of the non-Caucasian-focused stories tend to lean pretty heavily on the stereotypes ("Tales in the Sand" and "Ramadan" are the worst offenders about this), a lot of which come across pretty negatively.
Also on the subject of Bury Your Gays, both Chantal and Zelda die of AIDS in the course of the story; Chantal off-camera and Zelda during The Kindly Ones. Today this can seem almost infuriating, but this one really can be chalked up to "a different time" - The Kindly Ones itself was written, specifically, at the furious burning peak of the AIDS epidemic in 1994-95, when upwards of fifty thousand people were dying yearly in the U.S. alone, just before HAART was developed... and a time when many people still tried to avoid talking about AIDS or homosexuals at all. Gaiman's entire purpose was to shine a huge spotlight on the fact that, yes, homosexual people are people, and they hurt, and they die, and they shouldn't be ignored (which a hell of a lot of the world around Rose, the focus character for that segment, is trying its damnedest to do). Gaiman felt very strongly about AIDS education and awareness in general at the time - it's why he agreed to do a comic PSA about the subject featuring Death during the run of Sandman - so it's not at all a surprise he would try and emphasize it this way in his most visible work of the time, even if in later years it comes across more harshly and unfortunately.
Friendly Fandoms: With Discworld, as part of the general friendliness between Neil Gaiman and Terry Pratchett. The fact that both are long running, Genre-Busting examinations of the fantasy genre with highly sympathetic (though wildly different) versions of Death as major characters helps in this regard.
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.
Alternately, issue #13 ("Men of Good Fortune") note The issue that introduced Hob Gadling could be seen as this. It marked a big step in the series breaking from its horror roots, gave humans and the Endless equal dramatic focus, and featured supernatural elements as plot devices instead of as the focus of the story. It was also the first time that the series delved into historical fiction (something that it became known for), and it largely started the series' tradition of subverting and deconstructing popular fantasy tropes, featuring a notable subversion of Who Wants to Live Forever?.
Hilarious in Hindsight: Martian Manhunter's reply to Clark Kent in The Wake that he never had a dream where he was an actor in a strange TV show. Some years later, he will presumably start having dreams where he's a voice actor, or maybe a bunch of animation cels.
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.
Narm: The line below under Squick, both for how over the top it is, and because it may remind some readers of a certain Cannibal Corpse song.
The series started as an attempt to drastically reinvent the Golden Age superhero, the Sandman. Almost every detail about the previous Sandmen is actually found in older volumes of Sandman, Justice League and Infinity, Inc.
All the inhabitants of the Dreaming in the first arc are DC's old horror anthology hosts including Cain (and Gregory), Abel (and the unseen friend he named Goldie after), Lucien, Eve, the Three Witches and the briefly mentioned "Fashion Thing" (the Mad Mod Witch). As was Destiny, making him the only Endless that predates this series, and thus the "eldest".
Rewatch Bonus: Plenty. Most readers find that the number of characters and sidestories are really well-planned-out upon rereading the tales.
Squick: "Shep Cayle, who hasn't had an erection in a dozen years, is ejaculating violently—again, and again, and again: and now he's coming blood. And he doesn't care." Ewww...
Or rather, they wasted a perfectly good opportunity for a great character in Rose's mom. Lots is made about Rose being Desire's granddaughter, but there seems to be no effect on her mother despite, you know, being Desire's daughter!. She gets basically no characterization besides her role as a mother and seems to be in no way more than a normal human being.
Lucifer too gets wasted after he resigns his post as Lord of Hell. While he makes continuous cameos in the book, seeming to build up to getting involved in The Kindly Ones, he does precisely nothing to affect the story. On the plus side, he got his own spin-off series.
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 excerpts of the same artwork without the hideous coloring, and the difference is astonishing.
Also, Coleen Doran's art for issue 34, part 3 of the A Game of You arc, was mangled by the horrendous inking job. Fortunately, Doran had the opportunity to ink the issue herself in the Absolute Edition
Unintentionally Unsympathetic: Lyta Hall as of "The Kindly Ones." She's gone mad with grief over losing her son and being led to believe that she's dead (and Morpheus is responsible), thus leading her to seek out the Fates. Unfortunately, while possessed by them, she kills a bunch of people who had nothing to do with her grudge regarding Morpheus except for the fact that they reside in the Dreaming. Even after she learns that she was wrong and that Daniel was still alive, she later goes on to badmouth Morpheus at his wake and call him a monster. The kicker? She's basically a Karma Houdini.
In the case of the Delirium chapter, what happened was that Gaiman sent the script to Bill Sienkewicz, the artist... who apparently painted whatever it inspired him to paint. When he got the art back, Gaiman had to cut up his script and shuffle both script and art around to come with something that worked. (Frank Miller later confirmed to Gaiman that the same thing happened when he wrote Elektra: Assassin.)
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.
Lyta Hall spent several years trapped in dreams with her husband, conceiving a child that stayed in her womb for a very long time. When she was finally released, she lost her husband and ended up a single mother, and had to contend with the unwanted attentions of Morpheus, who declared that since her son was conceived in the Dreaming, he was entitled to one day take the boy away from her. Is it any wonder that she ended up going mad and becoming the host for the Kindly Ones?
Minor character Hazel is deeply in love with Foxglove, but ends up pregnant after a one-night stand that she very much regrets... and then Thessaly goes and blabs about her pregnancy to Foxglove and drafts both her and Foxglove for a dangerous mission into the Dreaming to rescue their housemate Barbie. She and Fox ultimately work out their differences, but the mission is a failure and results in their apartment building being destroyed, leaving them homeless with a baby on the way. And then there's the spin-offs, where Foxglove becomes a successful songwriter, but leaves Hazel at home to raise their son, who dies from SIDS, causing poor Hazel to get so desperate that she makes a deal offering to let Death take her in exchange for the boy getting a little more time. And meanwhile Foxglove cheats on her. Repeatedly. She is at least able to earn her happy ending.
Rainie Blackwell, a.k.a. Element Girl from the short story Facade; the poor woman is so desperately lonely and unhappy, you just want to give her a hug. As does Death.
The Second Installment of Uri's Strange Men Series:
Sophie's fate in the second Bad Ending: trapped as the only one still awake in the eternally slumbering world, unable to wake anyone, start time up again, or even fall asleep herself. Plus, the ending implies the Boogie Man may be coming to visit her...
Some Anvils Need to Be Dropped: Nothing gets solved by keeping problems to yourself, and people won't know your side of things if you don't tell them. This is brought up again and again through the game, but it plays well into the themes of insomnia and stress.
In the third Bad Ending, Sophie deciding to give up on her humanity and being reborn as a Glimmer.
The final Bad Ending, earned in the Sand Man's scenario: See You In Bad Dream. The Sand Man successfully puts Sophie to sleep, just like he wanted... But watches her fight in vain to stay awake, then succumb while crying for somebody to help her. Even the Sand Man can't free her from her nightmare, and cries out of guilt.
Woolseyism: The Bealby translation repeatedly calls Coppola a "hawker" (travelling salesman) of oculars and glasses (which he refers to as "eyes"). This resounds beautifully with the tale of Nathanael's nurse, who described the Sandman as a bird-like creature who hunts for eyes—a hawk is a bird of prey, and "to hawk" also means "to hunt in the style of a hawk". But it is entirely a clever translation; in the original, Coppola is just a "Wetterglashändler", which does not strike any such associations.