I'll try! I only know about Hector and Lyta from reading Johns' JSA when it was coming out. I think Morpheus actually appears in one issue of that run.
When would you guys say is the best time to read the Death mini-series? Vertigo have just released a new hardcover collecting both of them (and some other stuff), should I wait until I've read the main Sandman run? Or read them during?
I'd read them both afterwards. High Cost of Living should have come out the same months as Sandmans #47-49 when Vertigo launched and Time of Your Life came out after the main series ended (alongside Preacher #13 if you must know). Not 100% sure when Winter's Edge #2 came out and the three remaining stories in there are all from Sandman issues and Endless Nights.
Endless Nights is to be read after Sandman is concluded, and then Lucifer is also well worth a look.
The Dreaming hasn't been fully collected, but chunks of it are very good. There's a good bit of stuff about a Dream's ravens in it and some Bill Willingham stories.
For the Sandman Presents comics, they're all decent but The Furies is my favourite. Again, best to read well after Sandman.
The JSA issues about Lyta and Hector will spoil Sandman so don't be tempted to go back, ditto an appearance of Dream in Morrison's JLA at one point.
Honestly, I could go on but you can't go wrong with ignoring everything else until after Sandman.