To begin, not with the beginning of the story grand of Dream, but with the first issue which was rereleased in Preludes & Nocturnes. In this issue we see a bit of horror and magic as an Englishman runs through some strange incantation in an attempt to summon and imprison Death. Instead he captures Death's younger brother, Dream (the Sandman) and strips him of his symbols of office and confines him is magic sphere. The Englishman will not free Dream unless he offers the Englishman immortality. Dream refuses even to speak with the man and spends seventy-odd years (from the early 1900's to 1998) imprisoned in this sphere. During his stay, we see how the dreams and sleep of humanity are disturbed; many suffer from sleeping sickness and two world wars occur. Finally one of his captors accidentally breaks the circle and Dream escapes. Upon his escape he returns to the Dreaming, his realm, gaining sustenance and clothing from people's dreams. He has been weakened by his captivity and slowly makes his way back, taking refuge with Cain and Abel (the first murderer and first victim who live in the houses of Mysteries and Secrets respectively). As he regains his strength, he vows to regain his lost possessions (his bag of sand, his helm and his amulet), thus he begins a quest, an adventure.
First, he returns to the waking world and with the help of John Constantine, he tracks down his pouch, which has fallen into the hands of a woman who has been barely subsisting on the sand, and is on death's door. Once he regains his pouch, he finds that a demon of hell has his helm, so he travels to hell and battles the demon, wins his helm, then stands down Lucifer and the hordes of hell with the promise of dreams of heaven (thus offending Lucifer). After this battle, the Sandman goes in search of his ruby, which has come to be with the former Doctor Destiny, who has physically altered the ruby for his own purposes. We see Dee (as he now calls himself) make gruesome use of the power of the Ruby as he takes control over a diner and its patrons and causes them all to slowly kill themselves. Dream catches up with Dee and they battle over the ruby. Dee insures his defeat by destroying the Ruby (thinking that he is also destroying Dream) but instead releases all the power stored in the ruby back in Dream himself. Thus, ends Dream's quest (and the first storyline). He is free and has regained his symbols and begins to set his kingdom back in order. In the very next scene we see Dream sulking in a park, feeding the pigeons. He is joined by his older sister, Death, and she tries to cheer him up, by inviting him to join her for her day as she visits those who have just died and helps them move on to the next phase of their existence (which is never explained because you only get to see it when you die). Their time together helps Dream feel a little better as he remembers the duties and responsibilities to which he has to attend.