The funny thing is, I didn't even mean to read Hy Bender's The Sandman Companion -- Anne had bought it, and I just picked it up to see what it was. I had sort of assumed it was just a book form of Sandman annotations, and that kind of stuff is only appealing to me when I'm thinking, "I know that's an allusion to something I've read, but I can't think of what it is"; so I didn't expect to be interested in it.
But, like I say, I picked it up anyway, and found out that it was mostly (or at least, mostly in the parts that interested me) an extended interview with Neil Gaiman -- and a very well-conducted one, by an interviewer who obviously knows the topic and admires Gaiman without being sycophantic. There's nothing in here essential to an understanding of the comic, but Gaiman's an interesting guy, and it's riveting to hear him talk about not only why he wrote it like he did, but also the behind-the-scenes stuff. If you're both a fan of Gaiman's Sandman (which you most definitely should read, if you haven't) and enjoy getting a backstage peek, the companion book will hold your attention.
To be honest, I cavil at recommending a companion-type book; it sounds a bit too fanboy to me. But I have to admit that this engrossed me for most of the morning today. Worth a glance through, if not necessarily a purchase.