With honorable mentions to Batman: The Long Halloween, Transmetropolitan, and probably several others I'm forgetting off the top of my head. I'm reasonably confident I wouldn't change my top three after further reflection, though.
It's a tricky question to answer. It really runs the gamut of content and emotion. That Gaiman manages to humanize such abstractions is something of a miracle. The entirety of the universe (and beyond) is his playground, but the stories feel very personal.
That doesn't answer your question. But I'd need to think more to do the answer justice. The entire run is quite long, so there likely isn't "one" answer to this either.
I mean, the entire series follows the humanoid embodiment/personification of Dream, and his entire abstract family, in their day-to-day struggles and whatnot. The fact that Gaiman was able to give multiversal abstract beings such a massive amount of depth/story for as long as he did(75 issues, which spanned 7 years) is truly amazing. It was just a superb series all around.
"Who cares what world we're on? Just sit back and enjoy the story..."