The issues in the collection first appeared in 1991 and 1992. The collection first appeared in paperback and hardback in 1993.
Warning: Wikipedia contains spoilers
The fifth collection is most closely linked with the second, The Doll's House, and the ninth, The Kindly Ones. It continues the story of many of the characters in The Doll's House, the central character of the collection being Barbie, one of the people who shared Rose Walker's apartment block.
Gaiman often says that he considers the Sandman collections to have genders, as each seems clearly to be more liked by one gender than another; he considers A Game of You to be female, since many female fans consider it the best Sandman collection but few male fans do. It is a difficult collection, set partly in modern-day New York in another apartment block, inhabited by Barbie, her best friend (a transsexual called Wanda), a lesbian couple (Foxglove and Hazel), a witch called Thessaly and a quiet man called George who turns out to be an emissary from the other main location for the collection. This is a land which at first glance appears to have drawn on every available fantasy cliche, most clearly the Chronicles of Narnia series. This land is part of the Dreaming, and it is where Barbie set her dreams as a young girl, populating it with animated images of her stuffed toys.
As the collection progresses, the line between fantasy and reality - as is often the case with Gaiman - is blurred so much as to be almost non-existent, and for Barbie, comatose in George's apartment with her life played out in the 'dream' world, this 'fantasy' world becomes vitally real. The fantasy world becomes far less simple, mainly through the introduction of the Cuckoo, an elusive character who seems to be Barbie as a young girl. Thessaly, Foxglove and Hazel enter Barbie's dream, in Foxglove and Hazel's case with the intent of rescuing Barbie, and in Thessaly's case with the intent of taking revenge on the Cuckoo for the threat its emissary, George, posed to Thessaly (a witch, we understand, who sees the bearing of grudges as essential to her long-term survival; this characteristic becomes vital in the ninth collection, The Kindly Ones.) As the Cuckoo attempts to destroy this part of the Dreaming so it can fly on to pastures new, Morpheus turns up and effects an ending of sorts, though not one amenable to all concerned.
A book with less immediate impact than many others in the series, this collection relies on its carefully created structure, its deeply complex characters and seemingly minor technical points to illustrate once more some of Gaiman's key themes, of identity and the centrality of fantasy and dream in 'real' life. Its ending is one of the most hauntingly poignant parts of the whole series, as Barbie heads west to attend Wanda's funeral in the disapproving rural society where she was born, as Alvin.