I recently read American Gods since one of my friends was just raving about it, and while it started off really, really strong and grabbed my interest for a solid 200 or so pages, after that I felt it really, really dragged. I also found the ending to be just incredibly anticlimactic.
I really enjoyed Stardust, though. And I've heard nothing but fantastic things about Sandman.
Oh oh oh! Good Omens!He wrote it with Terry Pratchett and HOLY CRAP did I love it. I wish they wrote more books together because they made a damn good team. The book manages to balance out a lot of dark, serious themes (it's about the biblical apocalypse) with a good amount of humor.
Just some insights in to Gaiman's work: I'm sure many people have noticed this but most of Gaiman's works have a similar sort of thread. Each book has a world that not everyone can experience. Neverwhere, Stardust, American Gods, Anansi Boys, Good Omens, Coraline etc...
Take American Gods:
Regular looking people are actually gods and there is a massive war brewing that no one knows is going on.
There is another alternate reality London...
There is a magical land behind the town wall.
So much of Gaiman's books are related in this aspect. The main character gains the ability to see, experience and interact with a new world. It has made me wonder from time to time why Gaiman does this. Perhaps he is obsessed with the idea that what we see isn't always what is there, which makes sense considering that he is an artist. Further thinking leads me to the idea that he enamored with perspective. People look at the world in different ways and maybe he plays off this by giving it a supernatural or magical element in his works.