Virgilijus, I've read the Sandman, and I have conflicting feelings about it. It's nice to read a comic that branches out beyond the cliched hero archetype, and I loved how the story was about delving into the traits/flaws of a gradually maturing character, but it didn't really work for me.
Yeah, the style of storytelling (revealing Morpheus through seemingly disparate short stories) was pretty compelling, except their overall quality was inconsistent throughout. Some stories were darn good, others were just awful. I respect Gaiman's work--especially the Sandman--it's just that I don't like it as much as I thought I would have.
Though Gaiman's Sandman: The Dream Hunters is absolutely fantastic.
And I have to go with Marvel. I grew up with them, so characters like Spidey, Ghost Rider, X-men are all preferable to what DC has to offer. Though, to be honest, I've recently started reading more DC, and Batman is effin' incredible.
Batman--and his anti-hero appeal--is just amazing. Just the concept of a character who has condemned himself to do the very things his enemies do. . .and to lose himself in the monster of his own making. . .I think the only other character/archetype that I find as compelling as Batman is Roland Deschain, from The Gunslinger. But that's a book, so it doesn't count, I guess.
The Dark Knight Returns is quite possibly the most definitive Batman work ever created. I love that graphic novel.