If you do start with Preludes and Nocturnes one thing that you should take into account is that it took a few issues for The Sandman to find its form. The series didn't really hit its stride until the stand alone story The Sound of Her Wings.
What I'm trying to say is don't be put off if Preludes and Nocturnes doesn't live up to your expectations, because The Sandman gets a lot better as it goes on.
