I thought Season of Mists was my favorite The Sandman volume until I read Brief Lives. 

Brief Lives absolutely has it all-drama, action, comedy, romance, and philosophical ponderings.  It focuses upon Morpheus rather directly-unlike other volumes where sometimes he exists within the stories only peripherally-as he helps his sister Delirium track down their brother known as Destruction. 

Destruction is part of The Endless.  The other members of The Endless are his brothers and sisters Destiny, Death, Dream (Morpheus), Desire, Despair, and Delirium.  He long ago abandoned his post and family, choosing instead to exist on his own terms.  Addle-brained Delirium unusually makes up her mind and decides she wants to reunite with her favorite brother.  She is very surprised when she manages to enlist the aid of her brooding brother, Dream, especially after all her other brothers and sisters refuse to help her.

Dream accompanies Delirium on quite a journey as created by Neil Gaiman who makes brilliant use of legend and mythology, both preexisting and self-manufactured.  They finally find Destruction, but things don’t go exactly as expected and incredible possibilities are revealed.

I love this volume so much because something happens to Dream that hasn’t really occurred in the previous volumes-he changes.  While always dynamic in dialogue and appearance, Dream was not a character who seemed to evolve.  I enjoyed Lord Morpheus just as he was, but now that Gaiman introduces a changing Dream, a Morpheus who suddenly empathizes with mortals and family members, he becomes all the more fascinating.

Furthermore, the afterward by Peter Straub was absolutely riveting.  Brief Lives was enthralling on its own, but Straub’s afterward analyzing the volume makes it, and the intricacies of Gaiman’s artistry, all the more impressive.