Gaiman's first issue of Sandman opens with many unresolved questions that, honestly, always bugged me. Throughout the 10 "books" of Sandman, you learn much more about Dream and his universe, but you never find out why the first issue opens with him so weak and diminished. Here Gaiman explains, and the story fits perfectly into both the style and substance of the Sandman mythos. This is the most beautiful comic book I have ever read, hands down. It's been a decade since I read Sandman, but I was able (with a little help from the DC wikia) to even make the small connections back to later/earlier events.
My only question is whether it would be best to start reading Sandman with this overture instead of issue one. I'm usually a purist when it comes to reading things in publication order, but this seems like it would be a very good introduction to the whole world, and it would resolve those nagging questions before they occur. I would say start here.
My only quibble is that the nature of the plot's resolution feels surprisingly similar to one of my favorite Doctor Who episodes, but it works better here than in Who, so I can only say that there's an echo there. Anyway, Gaiman's stories are never really about originality, they are about setting and character and beauty and terror and fitting cleverness, so I can say that this exceeded my expectations in all those.