A Game of You (Sandman Book V) - Neil Gaiman et al.
An interesting story that blurs the line between the dream world and the "real" world, although Samuel Delaney explains in the introduction that in Gaiman's world, there is no line there. The dream world is the real world. The characters in this book appeared briefly or were alluded to in either Book I or II, and I'd like to go back at some point and take a look at those stories to see how it all fits together. The main story, though, has to do with a woman in her childhood dream, and there are some wonderful characters in the dream world that seem to have a history outside of this book.