It is about a fictional mythical character Dream... (his brothers and sisters are: Destiny, Death, Destruction, Despair, Desire, Delirium).
The Vertigo comic books are for adults. It doesn't mean necessarily that it contains some flashy things (though it shows also graphical stuff, if the story happens to require it, which isn't as often), but that the themes and plots would simply be boring for children - for a typical comic book reader. If you have any idea what a "comic book" reading feels like, this is not it. This feels pretty much like a long story which is made into a comic book - as when sometimes, rarely, movies get their comic book versions. Its spin-off is Lucifer(a kind of continuation) that I wrote about here before, which I consider perhaps the best comics there is (I think it even surpasses the Sandman: it's situated in the same universe as the Sandman and writes about a character (Lucifer) who first appears on Sandman, but it's written by another author).
For example, Shakespeare appears in the Sandman from time to time too and takes part in it (his life, his family, hs work, his problems...).
Both Sandman and especially Lucifer read more or less like an epic graphical novel that has a beginning and end throughout the 75 issues. If you want to try something different for a change, try one of these. Another member of the DC Vertigo family is for example Constantine (Hellblazer).
If you've never tried a comic book for adults, especially if you've never given DC'S Vertigo a go, you should give it a try. Mostly we imagine a comic book as something children/teens enjoy or that a child/teen inside ourselves occasionally may enjoy (like some superheroes saving somebody every day), children then imagine "a comic book for adults" to be the same thing as their children comic book but with added graphical elements (sex & violence). But that's just a wrong idea. It's just that someone decided to adapt a deeper story with deeper meanings into a graphical form, stuff that children would be bored of. That's all
I'm reading a dictionary, though I lack the discipline to do it systematically, and dip serendipitously. I had intended to transcribe chunks here, but my computer died, and on a phone the task would be horrific.