Mythology, fantasy, an adventure story, an allegory. A young man named Shadow went to prison, mainly to protect his beloved wife Laura from being implicated in the crime she planned and he unwillingly participated in. Just before he is to be released, Laura dies in a car crash, along with his "best friend".
Shadow is only out of prison a short time when a mysterious but compelling older man named Mr. Wednesday latches onto him, doing him favours, but also setting him extremely difficult tasks. Through Mr. Wednesday, Shadow meets more bizarre characters, many of whom have the strange character traits of Mr. Wednesday. Gradually, Shadow figures out that they are gods, gods who have followed their worshippers to America, only to find that their religions fade away or are absorbed into the folk traditions of American life.
If you liked Sandman, you will definitely like this. It has the feeling of some of the more compelling sub-plots in Sandman, but is developed fully as a novel. Very highly recommended. Also, you can read long complex discussion threads about this and other Neil Gaiman works at the message boards on Neil Gaiman's Journal.
NB: These are still the British blog originals, so please excuse the spelling.
2013 Update: They are making a film of this book. I know nothing more for now.