I'm planning on finally picking up the first volume of The Sandman. Before I start, is there anything imperative that I read first?
If you start with "Volume 1: Preludes and Nocturnes" and read in order to "Volume 10: The Wake", The Sandman is a complete and self-contained story.
A few additional notes:
The Sandman was originally published as a monthly comic. It consists of "mini-arcs" spanning several monthly episodes; and "standalone" comics, where a single episode tells a complete story. The standalone episodes are collected together in Volumes 3 ("Dream Country") and 6 ("Fables and Reflections"). Because of this, the collections are slightly out of original publication order. The original comic numbers are noted in the front of each collection; a real purist might want to read in the exact original order, but this is not necessary, and the collections will make perfect sense if you simply read through Volumes 1 to 10.
The "Sandman: Overture" prequel published in 2015 is set before "Preludes and Nocturnes"; but it is very dense with references to the full run of the Sandman series, and in my opinion it is better read after completing the original Sandman volumes.
The 2003 collection "Sandman: Endless Nights" is not part of the main Sandman story arc, and again is probably best read after completing the main sequence. The same applies to the two Death spinoffs, "The High Cost of Living" (1993) and "The Time of Your Life" (1996).
"The Sandman Companion" (1999) is very informative, and has extensive interviews with Neil Gaiman and others. Most of it consists of a chapter-by-chapter commentary on the comics. Obviously each chapter commentary includes spoilers. If you intend to read the Companion alongside The Sandman, probably the best way is to read each commentary after the relevant volume of the comic.
Historical, literary, mythological, and pop culture references in Sandman are too numerous to list here. Two special cases worth mentioning: The Orpheus myth is important in the concluding volumes; and the episode "A Midsummer Night's Dream" (in "Volume 3: Dream Country") will be more enjoyable if you are familiar with the Shakespeare play of the same name.
Happy reading! The Sandman is widely considered one of the finest stories ever told in comics.