- Watchmen is about superheros, even if they are unusual and fucked up superheros; Sandman is not about superheros (though they exist in the background and make a few cameos), it takes place in a fantasy world of Gaiman's design and is more strongly influenced by mythology than comics themselves
- Relatedly Watchmen is very meta, and is really about superhero stories specifically in the form of comics, Sandman is about more general metaphysical questions-- the one I really picked up on was how to deal with death and change. One of the things that comes up is can/if Morpheus has changed, and that really becomes central to the end of the series. Sandman does get meta, but about stories, not comics.
- Watchmen is action packed, full of violence and exciting activities; Sandman has almost no conventional action -- Morpheus is a force of nature, and after the first few issues he faces very few dangers he can fight. This leads to a very different sort of story, and often Morpheus does not seem to really be a major player, but the theme of dreams always comes through
- Finally there are a few format differences: Watchmen is very short, it essentially is a graphic novel, whereas Sandman is just to long to be a single body of work, but must be a series of some sort. There are also several artists who work with Neil Gaiman, and some of them I like more than others, whereas Watchmen has the same two people for the whole series, and the quality is always consistent.
What I really loved about Sandman is that it is so tied to mythology, it doesn't just use the characters' names and attributes, it uses the storytelling style of myth, and has many of the same characteristics. Neil Gaiman knows his mythology better than anyone else (that I know of) writing nowadays. The flaws are all in the use of comics as a medium, though they are mostly just not using it so perfectly well as Watchmen does (and I don't know if they could have kept that up for 75 issues), and my not liking the art style of a few of the comics. Definitely a good read, and one I would recommend for fans of fantasy, regardless of their thoughts on comics.