Story: "A Hope In Hell" (24 Pages)

Credits:

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

Feature Character:

Morpheus

Supporting Characters:

Nada (first appearance; a former love Morpheus's; last in flashback in #9; next in issue #22)

Villains:

Choronzon (first actually seen; from behind the scenes in issue #1; a demon Duke of Hell and captain of the Horde of Lord Beelzebub; next in Lucifer #5)
John Dee (last in issue #2)

Guest Appearances:

Etrigan the Demon (last in Action Comics Weekly #641; next in Detective Comics #602)
Lucifer Morningstar (the ruler of Hell; last behind the scenes in Hellblazer #12; next in Secret Origins Vol. 2 #48/2)
Beelzebub (first appearance; the Lord of Flies; last behind the scenes in Hellblazer #12)
Azazel (first appearance; latter two rulers of Hell along with Lucifer as the Triumvirate)

Other Characters:

Agony
Ecstacy (both last in Hellblazer #12)
Squatterbloat (first appearance; a demon)
Roger Huntoon (last in issue #2; behind the scenes)