I haven't really found Gaiman's books as convincing as his comics - Sandman is far more satisfying than Anansi Boys, which is a nice bouncy read, but not much more. American Gods was fine, espescially if you're a Zelazny fan.

I think the best thing he's done in a book is Good Omens, with Terrt Pratchett, the charms of which are summed up totally in their working title - "William The Anti-Christ".