Classics and Sandman is a pretty obvious connection. Gaiman's got a story about a kidnapped muse, and more pointedly the central mechanic of the plot revolves around Morpheus' fated suicide/murder at the hands of the Furies because he killed his son, Orpheus. It's pretty nakedly a classical tragedy in genealogy, in mechanic, and in fate, with the modern twist that Morpheus didn't have to go, but succombs to his depression deliberately in allowing fate and the story to take him.
I mean, I'm assuming you've read Sandman, but the essential books if you haven't are Brief Lives and The Kindly Ones.