In the beginning there was only God, and God created the Archangels Michael and Samael, also known as Lucifer Morningstar, the bringer of light. Michael used his power to create the first matter, and Lucifer's will shaped it into suns and thus the universe was created. [Lucifer #26]
God preordained everything in the universe, everything was already written, and everything had to follow the script. Lucifer was a wise, caring and passionate angel and ultimately that was what brought about his downfall. The caring Lucifer questioned the Presence's master plan and the fact that he had to follow the plan too, and started a rebellion. Lucifer managed to get one third of the host of heaven under his banner and stormed the Silver City. The fight didn't go to well for Lucifer, his brother Michael had to much power in him, and pushed Lucifer's army to the edges of heaven, and finally, they were banished from Heaven. [Lucifer #11]
Around ten billion years ago after falling for an eternity they would up in the metaphysical realm that would one day become known as Hell. Realizing that it would be impossible to return Lucifer began his reign in Hell and became the undisputed Lord of Evil for ages. Though being the most powerful of demons, he rarely ventured from his throne in Dis. Lucifer ruled hell for ten billion years, but he never liked it, he got bored, so bored he manipulated the demons who lived in hell. He set them one against the other, let them faction, divide and plot.
At the end of a course of events known as "American Gothic", connected to the world-shattering Crisis, a force called the Ultimate Darkness arose and merged with the Divine. This resulted in a civil war in Hell, something which ultimately made Lucifer allow it to be ruled by a Triumvirate consisting of Beelzebub, Lord of the Flies, Azazel the Abomination, and himself. This
One day, Dream of the Endless (Morpheus) decided it was time to get his ex-girlfriend out from hell, he was feeling a bit bad about sending her to hell and let her alone in that place for ten thousand years. Morpheus didn't want to go to hell; because the last time he visited the place, he embarrassed Lucifer, and Lucifer has never been very good in forgiving. But Lucifer was actually happy about Morpheus' visit, it gave him the opportunity to quite Hell. Lucifer kicked out everyone in hell, closed down all the doors and gave the key to Morpheus, hell no longer was the responsibility of Lucifer. Lucifer asked Morpheus to cut his wings, and Morpheus did. [Sandman Vol. 2 #21-28]
Having walked on Earth for a short while Lucifer later settled down in the city of Los Angeles, where he opened his own piano bar called "The Lux". His girlfriend, the lilim Mazikeen, became a waitress, and Lucifer played the piano every night. For a while, this satisfied Lucifer, he no longer ruled hell like God wanted. But it didn't last, Amenadiel of the thrones showed up, Heaven needed someone to do some dirty work, and of course, they decided to hire Lucifer.
Lucifer had to kill the voiceless gods, forgotten deities from a time when men were not advanced enough to imagine anything better than dark clouds as deities. He accomplished his mission and killed the voiceless, and he received his reward, a letter of passage, which allowed Lucifer to leave creation and visit the void. [Sandman Presents: Lucifer #1-#3]
Needing his wings back to navigate in the void, Lucifer visited Izanami's hell, because Remiel (who by God's order became the next ruler of hell and found the wings there) had sold the wings to the Japanese gods. Lucifer could not enter Izanami's realm with his powers and his immortality, so he had to leave that at the door, so to speak. Lucifer entered the house of windowless rooms, outsmarted Izanami's children, and got his wings back.
Amenadiel took the armies of heaven under his command and attacked Lucifer, to close down the gate to the void. But Lucifer outsmarted them too, he put a monster he had recently hired on the other side to eat anyone who dared cross the gate to the void, and he also rescued his brother Michael from Sandalphon, another rebellious angel. Michael has the demiurgic power, if he dies, the power explodes and wipes out the entire multiverse. No angel dared to attack Lucifer while he carried Michael's body, and Lucifer had promised Michael, that he would kill him, which was the only way to heal Michael, because it would allow him to resurrect himself without all the scars Sandalphon gave him. Amenadiel had two choices, let Lucifer kill Michael in creation and destroy everything, or let Lucifer keep the gate and kill Michael in the void.
Lucifer took Michael into the void and killed him, the demiurgic power created matter in the void, like it did when it created the original multiverse. Lucifer later shaped the matter into a new multiverse, creating worlds and galaxies. He then invited anyone who wanted from God's cosmos to live in his cosmos.
Lucifer currently rules this new cosmos, and he only has one rule. You shall not worship anything, not even Lucifer, or you die.