Sandman is in my opinion Gaiman's best long form work, but for my money his best single issue is probably from his (likely now never to be finished although they do keep teasing, most recently for this October) Miracleman run.

"Winter's Tale" from the Golden Age of Miracleman is doing something comic books aren't allowed to do, even more so than when he wrote Sandman. Winter is far more powerful than her father, and so the story ought to not work because what are the stakes? Introducing some "big bad" that could hurt Winter ruins the flow of the rest of the comic, and yet without such a threat why should we care about her tale? Gaiman sidesteps that by telling it as a children's story, like Judth Kerr's "The Tiger Who Came To Tea". In this form the story within a story can break all the rules. Masterful. And then the outer envelope story continues the Golden Age theme of humans living in a utopia still being humans.