The Sandman comics are made of awesome sauce, but so are his novels. You should read them! (Also, if you liked Sandman, try Moore's Promethea.)

My feelings towards Lackey are pretty much along the same lines as yours, actually, although for different reasons. I absolutely worshiped her during junior high and high school, but the characters and plots she uses (while still a hell of a lot of fun) got a bit repetitive for me after a while. If elves and NASCAR aren't your cup of tea, the Bedlam's Bard books are set in the same universe, but don't include race cars. I think the only books of hers that I still really keep up with are the Elemental Masters series.

I mentioned Emma Bull -- in particular, try "Territory." I was a bit skeptical going in, because it's a fantasy western, but it rocked hard.