I wasn't really a huge fan of this volume, which surprised me. The idea is that Dream goes to Hell to retrieve Nada, whom he sent there years ago when she wouldn't be with him. Lucifer takes this as an excellent oppurtunity to close up shop and then hand the keys of Hell over to Dream. Thus the story ensues with Dream deciding what to do with the now empty hell as numerous gods and the like vie for it. 
 Overall, I found this installment slow and difficult to get into. It lacked that beautiful and disturbing quailty I look for in Gaiman's works. The plot feels like it drags about without any real purpose and then becomes pretty anti-climatic when Dream decides what to do with Hell (view spoiler)[He gives it to the angels of god and they reopen it (hide spoiler)]. 
 I think my favourite part was seeing Death dealing with the release of the dead from hell. Sadly, I don't remember this volume that well, and I just finished it. 
 Of course, I will be continuing on with the series. Season of Mists was good, just not as good as I had hoped.