The next storyline, Season of Mists, involves Sandman returning to hell. It begins with the three fates visiting Destiny and telling him that the story starts here. He denies this, but then checks his book and sees that it is so. Destiny then calls a family reunion (the first one since the Prodigal left the family). Here is where we get to truly meet the other members of the Endless family (they've been here and there throughout the previous stories). We even get poetic descriptions of each member attending the meeting. During the meeting, Desire irks Dream by reminding him how poorly he has managed his love life and reminds him of how he banished Nada to hell since she refused him. Dream, offended, storms from the room, followed by Death who calms him down but agrees with Desire that he has mistreated Nada for too long. Dream sees that this may be true, so he decides to return to hell to free Nada, and thus this storyline has begun. Preparing for a battle from which he may not return, Dream puts the Dreaming in order, stops by and names the dream baby, Daniel, says a toast with Hob Hadling and goes to hell. When he gets there he notices that not only is Nada no longer there, but no one is. He finds Lucifer, who gleefully tells him that he has quit his job and is abandoning hell, closing it up. Dream follows Lucifer as he locks up the last few entrances to hell. They discuss how hell is a place that people come to if and only if they believe they deserve to be there. The moment they realize they do not need to be punished, they are free to leave, but their own believe that they need to suffer keeps them there (along with various and sundry demons and devils to help run the place). As he finishes, Lucifer gives Dream the key to hell and Dream cuts off Lucifer's wings. Lucifer fancies that he may lie on a beach or learn to play the piano, and thus leaves Dream sole proprietor of hell.

Word gets out that Dream now has hell and people come to the Dreaming to bargain and try to obtain it from him (gods galore: Odin, Thor, Loki, Bast, Chaos, Order, Azazel, and others). Meanwhile, on earth all the souls ejected from hell are trying to find new places to inhabit and we get a small glimpse of this chaos (and its effect on Death's duties) as ghosts come back to rule over an English boarding school. We see a young boy alone at school, surrounded, and finally killed, by the returned souls. The young boy decides that he doesn't need to stay, and that hell is only a place, or a state of mind, and that while he can, he is going to go exploring.

Back in the Dreaming, two angels, Duma and Remiel, come down from the silver city and take back the key. They have been designated the new keepers of hell. Remiel panics and denies it, but Duma silently accepts the burden of the key and Remiel decides to follow him. Needless to say, this turn of events upsets all those in attendance who were hoping for the key and Azazel reveals that he has Nada and attempts to destroy Dream. Dream, being at the center of his realm and power, easily frees Nada and imprisons Azazel and wishes the rest of his guests well. Most leave, except for a few. Nuala, is a gift from the Fairie Queen Titania, so Dream feels compelled not to scorn the gift so he allows her to stay. The second guest is a hidden Loki, who has sneaked away from Odin in hopes of not being placed back in the cave at the center of the world again. Dream offers to place an image of Loki there, so none will be the wiser, if Loki understands that he will be in Dream's debt. Finally, Dream meets with Nada again. They have an awkward meeting where he finally and truly apologizes for what he has done, and she forgives him as best she can and they part on better terms. Dream offers Nada a place at his side. She refuses and asks him to join her, which he refuses. She asks for life again, which he grants, and she is born anew in a Hong Kong hospital. The story ends with the three angels. Lucifer is down in Australia looking at the sunset, and he admits to God that he does do bloody marvelous sunsets. And Remiel and Duma are the new rulers of hell. Duma is silent as ever, while Remiel decides that maybe it won't be so bad, maybe he can make hell a place where they torture out of love, and maybe it can end, "happily ever after, in hell." And we see Destiny, reading of this in his book and reading a fictitious passage from G.K. Chesterton, "October knew, of course, that the action of turning a page, of ending a chapter or of shutting a book, did not end a tale. Having admitted that, he would also avow that happy endings were never difficult to find. 'It is simply a matter,' he explained to April, 'of finding a sunny place in a garden, where the light is golden and the grass is soft, somewhere to rest, to stop reading, and to be content.'"