'Three Septembers and a January' is a comic that did not make it into The Sandman.
It's about a man (Joshua Norton) who contemplates suicide, and is therefor accompanied by Despair. Despair decides to summon Dream and challenge him to redeem the man. At first, Dream refuses as he does not want to play games, but Despair coaxes him by saying that Desire and Delirium stand with her, that Dream thinks himself better than the rest of the Endless and blames him for the departure of Destruction.
Despair states that Dream must keep Joshua in his realm (The Dreaming) and out of the others until Death comes for him.
Dream gets to know Joshua through his dreams and gives him a new one: that he is the emperor of the US.
Years later, Joshua still believes this en becomes somewhat of a celebrity. He accepts 'taxes' (charity) from people and even gives them receipts for it.
Delirium visits and accepts that even though he is delusional, it's 'his madness that keeps him sane'.
Desire tries to seduce the man with women but fails. Dream states that the emperor has dignity. Desire leaves furious with the promise to destroy their brother one day.
Joshua eventually succumbs to what seems like a heart attack and is taken by Death.
Despair admits dat Dream has won the challenge.
I liked this comic as it shows more of the dynamic between the siblings, which we did not see enough of in the show. It also shows that Despair en definitely Desire had something against Dream for no real reason?
Dream could have walked away but choose to give the man new purpose because he feels like he did not do enough to help Destruction.
Ergo: he cares.