This will sound like a stoopid question, but what all's in it? And is it worth it? Is it just Sandman (I'm guessing) or other Neil stuff too? Is there anything newer or more complete that I should be looking at instead? Reviews, anyone?

I think it's worth it. I guess it depends on how much of a completist you are--the Companion really points out a lot to the reader that's easily missed in the comics. I keep telling myself one day I'll read each Sandman volume along with the corresponding Companion chapter.

I highly recommend it, even if you don't read it side-by-side with the volumes, because it's really neat, and it discusses a lot about mythology, etc. The paperback is $15, maybe put it on a birthday/father's day list? I'm sure you could find a cheap copy on amazon marketplace, as well.

EDIT: To further answer your questions, yes it is only about The Sandman. But Neil discusses much about the creative process, and his research that went into the stories. It's really very cool.

The Sandman Companion has a chapter for each of the ten volumes of Sandman. Each chapter begins with a summary of the volume, which is followed by a 'things you may not have noticed' section. Then, for each volume, Hy Bender interviews Neil about that volume, about what's going on and the creative process. Here and there are insert boxes with words from some of the artists.
Before the ten chapters is a short how-the-comic-came-to-be which is nice, and then there's an ending section on other stuff including the inspiration for each of the endless.
Yes, it's a worthwhile volume.
The newer book 'Hanging Out With The Dream King', I believe, focuses more on the people who've worked with Neil on various projects, not just Sandman, but I haven't had time to read that yet

Absolutely get it JP. I read it along with 1-75 last summer and understood so much more. It points out connections between story arcs and mythology I didn't know. I finished with a much greater appreciation for the series, probably the most with Kindly Ones.

There is no new material. It has interviews with Neil and some artists, and essays on each arc. Certainly worth the $15 for the paperback.

I got the book! Got it on ebay for $7. Started reading bits of it last night and couldn't put it down. Didn't start reading it straight though, just sections as I was flipping through it, and really liked it. I've read nearly the entire Secret Origins chapter Fun stuff.

Well, I'm all set. I got the Companion book, and now I've got the entire Sandman softcover set! I'm very excited. I started reading Preludes, and am now to where Morpheus is hunting the ruby *trying to avoid any spoilers*. I think I'm going to read a book, then the chapter(s) in the Companion, and alternate that way. I'll keep you aprised of progress if anyone is interested (or not).