Books:
Neverwhere The character "Hunter" in this book is one of the most finely crafted characters that I have ever met. If you read this book for one reason, it should be to follow Hunter through the story.
Stardust
Smoke and Mirrors
co-wrote Good Omens
Links:
There are a ton of places out there on the web, but unfortunately they are mostly dedicated to his comic book series "Sandman". Here are some general links on Gaiman.
Denver Book Club on:
Stardust