Because my main thought is "Not be a slavish copy of the comics". I'd want to pick some of the common threads that run through it, some of the dialog (where it's suitable for movies - comic dialogue and movie dialogue are rarely the same thing), and the basic themes, but I wouldn't want to try and fit 75 issues of very disparate storytelling into a movie, or even a series of them. It's far too big and sprawling for that, and I just can't see it working well. As a series of tv episodes, where the style and format was free to shift dramatically between episodes, I think it would be fascinating to try something like that, but movies have to be more cohesive than that.
My next thought is that a movie would have to tell a story, whole and complete in itself. I'd leave things open for more movies - I think that you could make a Sandman-shaped movie trilogy, but the initial movie has to be something that stands alone. So I'd probably take Preludes & Nocturnes and The Doll's House, and merge them into one another. Tell the story of his capture in flashback during the credits (something Watchmen did so well), and then make the linkage between Dream and Rose more explicit early one - he's got a job to do, he doesn't have the tools to do it, and he has to recover them in time to deal with her and prevent something awful happening. This then adds extra tension to the regaining of his tools, and makes this plot feel more cohesive. I'd strip the superheroes/villains out of it, and make it purely about magic, dreams, and destiny. I'd have him go to Destiny for help, before he goes to the Fates for assistance, to make it clear earlier that he has siblings. I'd _want_ to have The Sound of Her Wings to an epilogue to the movie, if I could make that work, but if not I'd cut it altogether (as well as the whole of Dream Country).
That gives you a solid story in which Morpheus is captured, freed, and works to do his duty (we'd emphasise his dedication to duty repeatedly, as that's a theme that would lead through future movies), introducing various bits of background (including his trip to hell, and the serial killers convention). I think that can all be fitted into two and a half hours in a way that works.
Film 2 would combine Season of Mists with bits of Brief Lives - it's about duty - those that give it up, and those that can't. About people who will will do what they're told, and those that refuse. About those who will do anything to gain power, and those who will do anything to give it up. Morpheus will see that he did wrong to Nada, and he will realise that he did likewise with his son. We thread Brief Lives through this, with Delirium wanting to go hunting for Destruction, and Morpheus too tied up in his duty (to the key) and his own realisations to realise he should be helping her, and when he does, this leads him to his son, where he sets things right.
Film three then covers The Kindly Ones and The Wake - as Morpheus realises that he is bound by rules and duties he no longer truly believes in, and realises that he already made his choice when he had his final meeting with Orpheus. But it takes him a long while to realise that every thread he's pulling brings the net tighter around himself, and the only answer is to cut himself free.
All of which is just some random thinking on the subject. And I'd never get to actually _do_ any of that stuff. So I'll just wait and see what someone else does with it. I hope it's not awful.
*Neil's reponse here
Original post on Dreamwidth - there are comments there.