I finished The Sandman yesterday! I'm not enthusiastic about it but didn't think it was bad either. There were some things that didn't quite make sense and the pacing of this 1st season is very odd. I also found it hard to find any character I could sympathize with (even though Dream grew on my by the end of the season).
All in all it's really not a bad show and quite entertaining (the visuals are pretty amazing)! I'm quite looking forward to a 2nd season!
EDIT: Ow, scrap that. I'm kind of in love with it, I admit it... 🙈