The whole Sandman thing really came together for me with this collection. I was completely absorbed and really into the story, very involved with the characters and the storyline. I read it straight through in an hour or two while babysitting the other night (and attempting to hide the sometimes-disturbing illustrations from curious 6-year-old).
In this issue, Dream has to go back to Hell to free a woman he treated badly and unfairly damned her to Hell for an eternity. While in Hell, things do not go as he expects... and he ends up with the keys to Hell. Of course he doesn't want them; but who should they go to? Everyone has a reason why they need the keys, but it's up to Dream to figure out the best answer.
I'm not sure why this issue caught me just right, but I really loved it. I liked the illustrations better for some reason, and I loved the bits about Dream and his family (especially Death -- who doesn't love Death?). I felt entirely caught up in it and absolutely in Gaiman's hands and world. I dreamed Gaiman-like dreams all night after reading it.
Not much else to say except that if you are reading this series, I would love to know what you thought about this collection, #4. If you are just starting out, read until you get to this issue! It all starts to make sense and the world starts to coalesce into something pretty amazing.
As ever, Neil Gaiman, you are my hero.