Gaiman has worked in about every writerly medium going, from novels to short stories to film and television to comics, and has also recorded some music, though mostly just as a collaborator on other peoples' projects.
His big works are the comic book series Sandman which spans a wide range of topics including the nature of hell, dreams and stories alongside a tonne of other stuff. It's quite a vast epic, deeply infused with mythologies both ancient and invented.
He's quite an accomplished novelist, with American Gods being a particular highlight. I have one observation on the book- it comes in two different editions, the original published edition and a more recent, expanded author's edition. I might catch some flack for saying this, but I prefer the original edition. It's a leaner story, but still filled with wonderful elements. There are a few too many digressions in the author's edition for my liking.
He's also written some all-ages books, a particular highlight being the Graveyard Book, essentially the Jungle Book retold as a sort of a horror story set in and about a graveyard.
My two favourite Gaiman stories are a comic and a short story.
First the comic, Whatever Happened to the Caped Crusader is a Batman story set at Batman's wake and a variety of characters including villains and heroes tell different stories about Batman. As a Batman fan, it is a great story that eulogises and honours the character, with all the different sub-stories representing different aspects of Batman, and are drawn in different styles to reflect the different eras of the character.
My other favourite Gaiman story is a short story called A Study in Emerald. It combines Sherlock Holmes and the Cthulhu mythos and is told from an interesting perspective. The version in the link is a great piece of design, laid out like a newspaper report and is littered with references to 19th century horror and penny dreadfuls in the advertisements