I have only read American Gods and Coraline. I also own his entire Sandman Series (both in individual trade graphic novels, as well as the Complete 5 volume Absolute Sandman).
If you're looking for something fun and exciting, I highly recommend The Sandman Series.
Neil Gaiman is one of the most amazing personalities I've ever come across. Neil is a writer/artist who has his hands in film, television, radio, internet (blog, twitter), drama, etc. You name a medium and Neil Gaiman has experimented with it in one form or another.