They are Death, Destiny, Dream, Desire, Despair, Destruction and Delirium. Unlike Gods, who die when no one is left to beleive in them, the Endless are forever and will only dissappear when all else dissapears.
What really makes this comic, though, is not the concept, which is both ancient and yet refreshing, but the quality of story telling which Gaiman lends to the series and which, quite frankly, he has been quite unable to lend to television.
There is a definite gothic feel to the two main characters in the book, Dream and his sister Death. They both have pale white skin and dress in black clothing. What gives the concept of the novel depth is that when shown in alternating time periods the Endless dress according to the fashion of the day.
The Endless are not all one dimensional characters either, although their names would suggest they are tied into acting in one particular way. Death is more of a pleasant yet slightly restless older sister. The Sandman has a very complex character. For someone who is in charge of dreams, which are packed with emotion and quite often disordered, the Sandman seems quite emotionless and ordered. This facade is slowly unravelled as the series progresses. The first major event that starts to build Dreams personality is in the first storyline in which black magic practicers try to summon and trap Death, but instead get her little brother, Dream. This entrappment leads to him to consider himself and lose some of his power, which he thus has to retrive. As this process unfurls throughout the stories Dream learns more and more that the roles of the endless do not begin and end with their realms, but that there are agents at work which cross the boundries, and that these realms constantly conflict with the others, even to the point where members of the Endless interfere with the realms of the other Endless.
Away from the main storyline of the Sandman, Gaiman manages to introduce other stories, sub plots and so on, which add magnificently to the overall detail and depth, and do not remove from the central theme. On the contrary, many of these sub-plots are insights into the realms and personalities of the other members of the Endless, the stories concerning delirium are particually entertaining.
There is so much to the Sandman comics, as opposed to your usual superhero going on missions format, that you will keep going back to them, and for this reason they are definitly worth reading.