Hard to really say, he likes to but a somewhat fantastic and surreal spin on existing concepts in a way that always reminds me of the late Roger Zelazny, who is one of my favorite writers. Frequently, like Zelazny, he'll pick a mythology and adapt it to make a modern story.

As mentioned above, but he's fairly broad spectrum. He's most famous for the Sandman comics, the book American Gods, and the TV/radio shows Neverwhere and a host of others. He does a lot of literary allusion, not just mythology stuff.

They often have magic in them or take place in fantasy settings?

He's not exactly got a giant quantity of novels out there to read, he does have some but he's done more work in other mediums. Besides his new ones, and the ones mentioned, Stardust is the only other I can think of and I've never read it. My first exposure was to the Neverwhere mini-series, book-wise it was American Gods, or rather its sequel the Anansi Boys, read them out of sequence.