After Dream Country I wasn't really looking forward to another collection of random tales, rather than a full story told over several issues, but this time it worked due to the thematic links between the tales. All are set in different historical periods, often based around real historical figures, and most deal in some way or another with rulers and authority figures, and how they deal with their responsibilities.
There are some weaks links, as in any collection (I find Cain and Abel's violent feuding tiresome) but a few of them stand out, particularly the one about Norton 1, Emperor of the United States, Augustus of Rome, and particularly the last tale, Ramadan, which features easily the most gorgeous artwork of any Sandman story to date.