I just read Gaiman’s A Game of You Sandman graphic novel from Vertigo (Volume 5). Aside from the story telling being completely off the charts, there is a marvelous must-read introduction by Samuel R. Delany.
The thing Gaiman is most brilliant at is creating new mythology from bits and pieces of old myth, psychology, and urban fantasy. What stands out in this story is that it appears to be a leaping off-point for Mirrormask. Having just viewed the film again, there are structural parallels between it and A Game of You, not the least of which is the displaced princess bringing destruction down on the alternate world. While in Mirrormask the alternate world is the fantasy illustration world of the main character, in A Game of You the alternate world is, necessarily, the dreamscape.