I'm currently reading through as much as I can of the Sandman/Swamp Thing/Hellblazer/Books Of Magic/Dreaming portion of The DC Vertigo universe in preparation for the upcoming Sandman/Locke & Key crossover (Issue #0 comes out today!). You shouldn't have to do that. There's a lot of it. Like pretty much every ongoing comic series that lasts more than a couple of years, the quality varies wildly. So I've put together a reading list/order if you want to read Just The Best of these titles. I don't care for which stories are the most Historically Important, like the first appearances of so and so, or The Absolute Beginning of this universe. I care about what's fun to read, and what art is just bonkerstown great.
Most to all of these books should be in print and available from a local comic book store. And if they do dip temporarily out of print, I'm fairly confident they'll return quickly with new cover art and probably a heftier price point. Hope you enjoy!