American Gods was an interesting take on mythology, similar to Wolf Among Us, but with gods bumming around in human lives instead of Grimm tales animals.
It seems like that one would be the better one for a movie - the amusement of seeing gods depicted with human lives would could keep fresh with new and stranger gods, perhaps with some strong personalities popping in and out as they died... but none of it seems like it could keep as fresh as, well, endless dreams with a touch of the Twilight Zone. Every story would be its own universe, with a slow thread of Dream's own tale coming in a few times a season. Sort of a mix between Doctor Who and Twilight Zone, really, jumping around in time and reality to explore both humanity through strange eyes.
They could both make decent movies - it's just American Gods was put together as a single story revealing the nature of the gods being depicted in a clear arc, and Sandman was designed as an endlessly serialized exploration of timelessness and dream, with overlapping story arcs.
I'd be more than glad to see either of them explored though - it's always nice to see stories that twists the usual equations of power to produce a more interesting exploration of humanity than just who is powerful. Both these stories feature characters beyond the usual definition of power, and even morality, and use them to push the other characters into more poignant territory.
In any case, here's hoping the series get good enough writers to match the exploration that these kinds of stories demand, without slipping into the common pitfalls we've been seeing with Superman/Heroes/etc, with world-shaping levels of power. When in doubt, at least they can copy Doctor Who/Twilight Zone.