I am looking for the particular issue of The Sandman, in which a man decides not to die. Can anybody tell me which issue is it?
The character is Hob Gadling. The first issue in which he appears is #13, "Men of Good Fortune". Wikipedia has more info here.
While Hob Gadling is featured more often than any of the others, there are a number of immortal characters who are featured, shown, or discussed, particularly in the beginning of the Brief Lives storyline where Dream and Delirium start trying to find their brother Destruction.
This includes a man (Bernie Capax) who dies from a falling wall after remembering the smell of mammoth. There's also Ishtar (the goddess), who is working as a stripper.
Other immortals that show up include Mad Hettie, Thessaly, and a number of gods such as Pharamond.