The Sandman/Awesome

Dream

 * During Dream's quest to reclaim his tools, he is forced to travel to Hell and confront a demon that had claimed his Helm. Dream is forced to duel with the demon... through use of symbolism ("I am a snake... I am a mongoose, which kills the snake..."). When the demon gets up to "I am all encompassing destruction, and the end of all that is," Dream simply responds The demon can't think of a thing to top that.
 * And when Lucifer threatens to imprison Dream in Hell, just for the Hell of it, Dream reveals that Hell cannot hold dreams: "What power would Hell have if those imprisoned there were not able to dream of Heaven?" Dream walks out of Hell untouched. Although Lucifer swears revenge...
 * When Dream defeats Dr. Destiny. Destiny believes
 * During Season Of Mists story arc, where Dream determines to travel to Hell once more to free his imprisoned lover Nada. Knowing that Lucifer swore his destruction should he return, Dream still makes the attempt, even giving Lucifer due notice that Dream was coming.
 * Morpheus' gift to Joshua Norton I, Emperor of these United States and Protector of Mexico deserves mention, as does saving Calliope.
 * One word, from the first issue: "Shush." That line more or less single-handedly made me a fan of the series.

Death

 * His big sister Death got hers in her first appearance, telling off Dream spectacularly and quoting Mary Poppins, plus making bread go "bip" (It Makes Sense in Context).
 * Or when the thus-far unstoppable Kindly Ones back off the moment she, usually a cheery (amorphi)person(ification), gets pissed. Beware the Nice Ones gets kind of an extra effect when the nice one happens to be Death.

Delirium

 * Baby sister Delirium tells Destiny, eldest of The Endless, to more or less shove it. This from the girl who is all too happy to make flying frogs and chocolate people, talk to fish, and forget to pay attention to gravity. When she gets serious, she's as scary as an angry Death.
 * All the more awesome when you stop to consider that in order to do that, she has to force herself to not be herself.

Others

 * For the Sandman series itself, it's the most highly regarded Vertigo title ever.
 * A Midsummer's Daydream was the first (and last) comic to win the world fantasy award for best short story. The rules were changed to prevent it happening again.
 * Joshua Norton fending off Desire's attempts at seduction through a Snake Oil Salesman offering him the most beautiful women, starting to describe them in ever more disturbing detail. Joshua gets angry... at how inappropriate the conversation is.