I've only read two of his works thus far and those were Neverwhere and American Gods. I really loved Neverwhere. American Gods is good, but out of the two I've read, I love Neverwhere the most.
Neverwhere and Good Omens (although that's a collaboration.) I'm madly in love with both of them. I need more books by Neil Gaiman, come to think of it.
I didn't really like American Gods, oddly enough. Never managed to finish it.
I really like his adaptation of "Punch and Judy" and am very fond of his children's books The Day I Swapped My Dad for Two Goldfish and The Wolves in the Walls. The man also writes a damn fine superhero comic story, among other kinds of comics which he is better known for.