Fun episode! I thought that, in contrast to the first (where the second half of the issue was quite rushed) it was very balanced and a great discussion throughout.
My favorite parts were the antiquity geekery, of course. I knew that the gates of horn & ivory were Greek, but didn't remember where they came from (although I've read the Odyssey). Fun stuff.
Some other thoughts:
• Brent (I believe it was) pointed out the purple & yellow coloring on the page when Dream is in bed in a rather crucifix-like pose, noting that they are Easter colors. In the color-corrected absolute, however, they don't look purple and yellow — they look a lot more natural. I don't know if they changed their mind or if they never meant it to be that way, but they changed it. Doesn't invalidate the reading in the version those colors were in, but worth noting.
• I am curious how much Alan Moore's interpretation of Cain & Abel — which Gaiman draws on enormously, including the regular murders, etc — was in the previous "House of Mystery" (& Secrets) issues, never having seen the latter. (In general, early Sandman reads in a lot of ways as a spin-off of Swamp-Thing — Cain and Abel, John Constantine dropping in, cameos from the Justice League, etc. This will change over time, of course.)
• Glenn mentioned his favorite panel on p. 11, but I admire above all the page as an artistic whole: what a marvelous layout, conveying the dream-journeying in such a vivid way, embodied in the very structure of the page.
• You don't mention it, but the three-who-are-one switch places on two of the pages they are focused on. I seem to recall Gaiman describing this, in an interview, as each of them rotating to become the others in turn, i.e. transformation, not shifting places. Not clear from the art, but it's a cool idea.
• In your mention of syncretism, Glenn describes the Furies, Fates, Graces, etc, as different names for the three-in-one. I think it goes beyond that: I think they are different aspects of them. That they are multi-faceted, and that different names capture different sides — different "points of view" (as Abel describes what died when Morpheus, but not Dream, dies, towards the end of the series).
• You both said that Dream did badly in asking his questions. I disagree. He asked in an ordinary way, and they answered as slipperarily as they could each question. Each time he tried to learn, and phrased the next one differently; they continued to evade him. They weren't being all that helpful.
• You said (IIRC) that the final two panels ended on a creepy or horrific note. I think it's heartbreaking. A person so broken down that the fact that they're bleeding is not so bad. I guess what I'm saying is, "I'm not bleeding, you're bleeding", or something. A very powerful pair of panels.