Well, I certainly agree with you there, Mentalist, art-wise. I mentioned it before, regarding the first collection, Sam Keith is a phenomenal artist, but it was interesting to see some of his older stuff. (We're talking about a work that's approaching 20 years old now!) It's also important to remember that Gaiman's The Sandman actually predates DC's Vertigo imprint by a couple years, before they had a fully-realized idea what all it was/could be, or what kind of stylistic approach they were going to take. These early issues almost hint at a *classic* horror comic book feel to them, and it is certainly understandable considering a lot of the dark subject matter.
Mike Dringenberg, the primary artist for The Doll's House, to me, has always been the definitive artist for the Sandman, and although it was interesting seeing some of his earlier work on the character, it was grating seeing so much good artwork (yes, a lot of it IS very rough - some of the grainy-shaded, almost photo-realistic stuff is actually VERY good) ruined by the limitations in coloring that was still being employed in the late 80's. (This is before computer coloring revolutionized the industry, people.) And I really enjoyed some of the artistic experimentations that you do find in the Doll's House, hinting at more incredible art to come. Oh, and Dave McKean on covers? ALWAYS compelling. His covers on Gaiman's (various) books are one of the things I look forward to most on their collaborations.
It was also nice seeing some OLD Chris Bachalo artwork in Part Three ("Playing House.") I was surprised at how closely it resembled those old Sam Keith issues. (My first exposure to Chris Bachalo before this was his Shade, the Changing Man books he did for Vertigo.) Oh, and the Michael Zulli stuff was interesting, especially since I know how good he HAS gotten since then.
At any rate, say what you will about the art and artists, the writing is ALWAYS consistent and magnificent.
Also, I enjoyed Gaiman working in the Hector Hall Sandman character. Recognizing Hector Hall's name, I did a little on-line cheating and realize how important he and his pregnant wife are to the overall storyline.
I will look for Volume 3: Dream Country at my earliest convenience.