6/8/2020: My third reading of this volume, which I think where Gaiman and the crew really begin to figure out what they're doing. Features some real highlights, to illustrate how story/dreaminf/imagination work across historical and psycho-socio domains. I have since my last reading become more of a horror comics fan, so better understand how both fantasy and horror fit into Gaiman's conceptual universe. I didn't get the horror piece before, but both scary and uplifting all fit for him. The artwork gets darker, more serious, and a bit more Dave McKean-influenced, which is what it needs.
10/8/14 review, somewhat edited: 2nd reading of this volume, and I liked it even better, and though I am not exactly a fantasy nor horror buff, I was actually pretty moved by it all, in the end. Part of it is that I am rereading it and understanding the intertextual references better, the layering of effects. There's a lot of wonder in it, a lot of good writing, and Morpheus/Dream really comes alive, periodically visiting with one human, Hob Gadling, that Dream first meets in the middle ages ad whom he allows to be alive for centuries, so you get an historical sweep of his effects.
We also have a section set in Africa, "Tales in the Sand," where we presume story/religion happens through griots, and where Morpeus once fell in love. There's this myhtological dimension of story that is crucial to Gaiman.
That dimension provides a backdrop for story as it happens in the contemporary world, and the long story of Rose Walker, who we are told is a possible Dream Vortex (which I really don't quite understand yet) that Dream must contend with, in various ways, and also her mother and grandmother (who was in volume 1, too as someone who was asleep during the time DReam was imprisoned). (This trilogy of female spirits we see in other Gaiman stories and across many literary sources, of course). In this volume we see Dream work to get his World back in order, after having been held captive for seven decades in volume 1, and he does this by roping back in several of his most difficult rogue comic/horror henchcreatures. There's a lot going on, and it is potentially confusing, for sure, but you also have to admire the sheer ambition and reach, and play, to have Dream (our Neil Gaiman look-alike creator/author of the imagination) both deal with his most brutal creation, The Corinthian, and on the other hand, influence young Will Shakespeare in a pub along the way (he makes a deal with Will, the fruits of which we will see in coming volumes, and of course in literary history).
Gaiman can be deadly serious, and also fun and sort of snarkily funny at times. At base he is a romantic, a dreamer himself, of course, who believes in the ultimate triumph of goodness, though pure evil wins its battles (the Corinthian is a good example) and even wars from time to time, as we also know. There's a kind of macabre/silly Cereal (a cover for Serial Killers) where you hear the Corinthian's chilling keynote speech in justification, but just this morning I read that Ann Coulter recently said, "Give Ebola to the migrant children," and the Holocaust and all the other genocides should be enough for us to understand that humans are capable of atrocity, but you can see how Gaiman finds its ludicrous/horrific source in hate, or some Jokerish nihilism.
So, yes, there's real horror in this book we as readers have to contend with in a couple different ways; another example is the very real and scary plight of Rose's little brother Jed, who is imprisoned in foster care. Gaiman point in sharing horrific stories is that there really are terrible people out there, and that evil that must be faced in all its manifestations. Nightmares are useful in Gaiman's Dream World because they can help you recall that there are real bad things out there, and to learn to fight against them and our real world horror as we need to. The imagination brings us Beowulf AND Grendel, of course.
Anyway, it all comes together in an entertaining and meaningful and even finally moving way, for me, at least. Pretty danged impressive, I'd say, ending with some surprises (with respect to Rose, for instance, or call it a deux machina?) and a twist concerning Dream's sister Desire, who it would seem can never portend much good for future volumes.