Neil Gaiman has an interesting interview on slashdot, which is well worth reading (unlike most things on slashdot lately).
The fourth question is particularly interesting. It seems like a horrible shame that something that would have undoubtably turned into a fantastic Sandman story will never be written, but I can see why he did not write it, and I agree that it's probably best that he did not.
Oh, and speaking of Sandman stories, if anyone out there hasn't read Endless Nights, go out and buy a copy immediately. It's just that good.