I have watched up to The Sound of Her Wings, which also includes the Hob Gadling story.
The episode in the diner was amazing. Gaiman has said that issue of Sandman is the darkest thing he has ever written, and it was a challenge to adapt it and keep people watching the series afterwards. It was a very powerful and disturbing episode, but it was damn good.
This is an amazing cast, so far everything has been well adapted with changes that make narrative sense for a television series. Everyone who complained about the casting, especially Death, can go fuck themselves with a rusty chainsaw.
Still have to watch the episodes that adapt The Doll's House, and now they just dropped Dream of a Thousand Cats/Calliope.