Neil Gaiman is one of my favourite authors! I mean, look at my signature and my username! The first book I read that's written by him was Stardust (this was way before the movie was ever made) and then Anansi Boys. It's hard for me to pick my favourite book by him, so I guess I'll just have to list my top 5 here. Not in any particular order, though.
01. Good Omens
02. The Graveyard Book
03. Smoke and Mirrors -is this cheating? 'Coz this is a collection of his short stories
04. M is for Magic -Another collection of short stories
05. Stardust

I haven't read any of his comics though. I'm planning to, their price (where I live) is just too high for my to justify buying one.
I really like The Ocean at the End of the Lane. The moment I finished reading it for the first, I immediately reread it again. I've read American Gods too, but my knowledge of all the mythologies mentioned in that book is quite small, so I don't think I can appreciate the book as much as others. Did you know HBO is making a series for the American Gods?