Yeah I read Preludes and Nocturnes and it was awesome, I also love Watchmen, The Darkness, JTHM, Squee, Scott Pilgrim, Spawn comics, and 30 Days of Night. I don't really have a favorite, there's usually something awesome about a comic book, be it the art or the writing, that just makes it impossible to hate. I pretty much enjoy everything I read. Comics are the only thing that I'm easily pleased with. I still have a lot to read though, I'm just getting started.
Haha...Neil Gaiman is God! Sandman is my favorite series of all time, most definitely. But coming in at a close second are Fables. I could live off of reading Neil Gaiman alone, the man is a genius.
I was into The Walking Dead for awhile, and bought the next one I had to read in the series (the trade paper back after Rick loses the hand). And then haven't picked it up since. Something about that series is so depressing...oh wait, it's the zombies. All the emotional tension in those books keeps bringin me down.