I read "Neverwhere" by Neil Gaiman before I had even heard of Sandman, and it encouraged me to check out a lot of his other stuff. It's a terrific book, and I've been wanting to see the BBC series for a long time, but wasn't willing to shell out for it.
But hey! Now it's out at Hollywood Video, so I'm watching it right now. The production quality is a little, uh, BBC-esque, but the wiki says that the show came first, then Neil adapted it for a novel. This kind of explains the lower level of production, since it came before he was a truly famous writer. Nonetheless, the series is still wildly entertaining just based off of the strength of the concept: that we ignore homeless people and other street-culture vagrants because they actually exist on a slightly different plane of existence.
In conclusion, if you're a big fan of Gaiman, watch the show and read the book; if not, you should still enjoy one of the two. You'll undoubtedly become a big enough fan that you seek out the other one anyway. Also, bonus: muzak/ambiance by Brian Eno.