What I do have in here is all of the books available on Amazon in which Morpheus (or other leading members of the Sandman cast) make significant appearances.

The Official Stuff
Written and supervised by Neil himself, as part of the Sandman "canon." If you've never read these before, do yourself a favor and read them in the order I have here. It'll make more sense that way.

'The Sandman Vol. 1: Preludes and Nocturnes'
'The Sandman Vol. 2: The Doll's House'
'The Sandman Vol. 3: Dream Country'
'The Sandman Vol. 4: Season of Mists'
'The Sandman Vol. 5: A Game of You'
'Fables and Reflections (Sandman, Book 6)'
'The Sandman Vol. 7: Brief Lives'
'The Sandman Vol. 8: Worlds' End'
'The Sandman Vol. 9: The Kindly Ones'
'The Sandman Vol. 10: The Wake'

'Death: The High Cost of Living'
'Death: The Time of Your Life'
'Sandman: The Dream Hunters'
'The Sandman: Endless Nights' (I don't know why it says #12. It's not. It's a book of short stories about each of the Endless.)

The Aftermath
All the stuff that came out as a direct result of the Sandman main series.

'Dreaming: Beyond the Shore of Night' (It'll probably be out in a new edition soon. This was the beginning of the "Dreaming" series that followed the events in "The Kindly Ones" and "The Wake."
'Dreaming: Through the Gates of Horn & Ivory'
'Death: At Death's Door (Vertigo, Number 1)' (This is the terribly, terribly cute story about what Death, Delerium, and Despair were up to during "Season of Mists." You should definately read SoM first.)
'The Sandman: Book of Dreams' (Short stories by various famous people. Pretty mediocre, actually.)
'Sandman Presents, The: The Furies (Sandman)' (Very cool story about Lyta Hall following the last two Sandman books.)
'Lucifer: Devil in the Gateway, Book 1' (The ex-Prince of Darkness gets his own series!)
'Lucifer: Children and Monsters, Book 2'
'Lucifer: The Divine Comedy - Book 4 (Lucifer (Graphic Novels))'

The Study Of The Sandman
What other people have written about the Sandman series. Very handy if you're doing a term paper or a thesis or something.

'The Sandman Companion' <---MUST HAVE RESOURCE. BUY IT USED.
'The Sandman: King of Dreams (Sandman)'
'Neil Gaiman's The Sandman and Joseph Campbell: In Search of the Modern Myth'

Oddities
I couldn't honestly figure out where else to put it.