I've currently finished reading #29-"Thermidor", #30-"August" and #31-"Three Septembers and a January".

This is my favourite Sandman collection so far. The interplay of actual events and Dream's "helping hand" is thrilling in a hair-on-your-nape-stands-up way. I especially loved "Three Septembers..." based on Emperor Norton - the only Emperor of the United States. I'm looking forward to read the rest of the issues in this collection (#38, #39, #40, #50 and the Song of Orpheus), but as I'm reading the issues in order, it might be a while before I get to them.

========Update========

I finished the book, and I'll stick to my statement that it's my favourite Sandman collection so far. I feel that Gaiman brings back some of the magic that we've lost under the onslaught of science. He infuses real historical events with his magical dream-king in a delicious scoop of "what-if-it-really-happened-like-this?"