Story: "Sleep of the Just" (40 Pages)

Credits:

Neil Gaiman (plot, script)
Sam Kieth (pencils)
Mike Dringenberg (inks)
Todd Klein (letters)
Robbie Busch (colors)
Karen Berger (edits)

Feature Character:

Morpheus (first appearance; lord of the Dreaming; one of the Endless)

Villains:

Lord Roderick Burgess (a.k.a. The Daemon King; born Morris Burgess Brocklesby; first appearance; Lord Magus of The Order of Ancient Mysteries; dies)
Alex Burgess (first appearance; Roderick Burgess' son and later Lord Magus; next in issue #62)
Ruthven Sykes (first appearance; Roderick's second-in-command; dies)
Paul McGuire (first appearance; Alex's second-in-command and lover; next in issue #62)
Ethel Cripps (first appearance; Roderick's mistress; next as Ethel Dee in #2)
Choronzon (behind the scenes; voice heard; first actually seen in #4)
Corinthian (takes over the body of Stefan Wasserman behind the scenes as revealed in flashback in Sandman Presents: The Corinthian: Death in Venice #1)

Guest Appearance:

Sandman I (Wesley Dodds)

Other Characters:

Professor John Hathaway (first appearance; senior curator at the Royal Museum in London, England; last in Dreaming #41; dies)
Ellie Marsten (a Canadian child from Toronto)
Arthur Marsten (her father)
Daniel Bustamonte (a Jamaican child from Kingston)
Stefan Wasserman (a German soldier, dies; body taken over by the Corinthian as revealed in flashback in Sandman Presents: The Corinthian: Death in Venice #1)
Unity Kinkaid (an English child from London; next in issue #10)
Ernie
Frederick (two guards)
Mort Notkin
Nurse Edmunds (first appearance of all)