The Sandman--a.k.a. Dream a.k.a. Morpheus--is a character in a series of comic books by the English writer Neil Gaiman. Though the Sandman was originally created as a typical 1970s comic book hero illustrated by Jack Kirby, in the 1990s version of the character imagined by Gaiman he is a being older than and in some ways more powerful than a god. He has six siblings: Destiny, Death, Desire, Despair, Destruction, and Delirium (formerly Delight).
There are 10 Sandman trade paperbacks: Preludes and Nocturnes, The Doll's House, Dream Country, Season of Mists, A Game of You, Fables and Reflections, Brief Lives, World's End, The Kindly Ones, and The Wake. There are also some one-offs, and a late sequel called Overture, which is not very good. I think The Doll's House and The Kindly Ones are the best collections, but you should read them in order. My favorite is probably World's End.
This is what Dream looks like:
This is his sister Death:
(I believe both images are protected by fair use, but if the original artists would like them removed please email me!)