The Sandman As Mythology
'Tales in the Sand' acts as sort of a prologue to the second major story arc in The Sandman comic series. It deals with the backstory to how Morpheus and Nada, an African queen, met, and how Nada came to be imprisoned Hell ( The Sandman #4 'A Hope in Hell'). Many of the recurring motifs and themes of The Sandman begin with this issue - storytelling, love and loss, pain, and the the repercussions and responsibilities of one's actions. The story also really begins the mythologizing of Morpheus as a pan-cultural God of Dreams (here he is known as Kai'ckul).
'Tales in the Sand' is a good standalone issue, but it also fills in some of the gaps and provides some context for the things to come later in the series. It makes a good entry point for those coming into the series late, if there are such people.