The Sandman Mega-Series

10 vol original series
  2 Death series
  2 collections:
     Endless Nights
     Midnight Days
  2 versions of The Dream Hunters
  4 related works:
     Black Orchid
     The Books Of Magic
     The Children's Crusade
     Stardust
20 vols total

(Stardust mentions Death once. She should have appeared in the film.)

The main narrative of Dream, beginning with his imprisonment and ending with his death, is recounted in six volumes, divided into three pairs:

Preludes And Nocturnes
The Doll's House

Season Of Mists
The Game Of You

Brief Lives
The Kindly Ones

The remaining four volumes of the original series, divided into two pairs:

Dream Country
Fables And Reflections

Worlds' End
The Wake

move the characters in many different directions, which is what Gaiman wanted to do with the series.