American Gods was the least favorite of the Gaiman books I've (tried to) read. I love Neverwhere, which might be my favorite book, and Stardust is up there too, but I just couldn't get into American Gods, and have avoided Anasazi Boys because of this.
I really liked Neverwhere, The Graveyard Book, all his short story collections, Coraline...and Stardust is probably in my top 5 favorite movies (so much to where I'm scared to read the book). I'm not a big Sandman fan...it is just so dark.