Order of the Stick is a great webcomic--it started out as just a series of jokes about D&D-style roleplaying games, but the author/artist gradually put more and more plot and character development into it. It does have the archive panic problem (it's closing in on 1000 strips), but it's well worth it.

If you liked Sandman, there's actually a prequel series currently running called Sandman: Overture, which is quite good.