I'm really enjoying this series from DC/Vertigo. I heartily recommend you check it out if you get the chance.
It's really bothered me that there's this wall separating the mainstream DC Universe from the Vertigo characters who originated there. Madame Xanadu has gotten around that by telling a story suited for Vertigo using some mainstream DC characters and concepts, and that's made it great fun. In the first four issues, Morgaine le Fey and the Demon Etrigan have appeared, and the Green Lantern that would eventually make its way to Alan Scott has popped up as well. All that and Death of the Endless is slated to appear in an issue or two as well.
But it's not the shout-outs and in-jokes that make a story; it's the strength of the writer, and Matt Wagner (the author of Grendel and Mage) is doing a wonderful job showing us the evolution of the woman who will one day become Madame Xanadu. He's also turned the Phantom Stranger, in what is likely his first starring role since the '70s, into a compelling character as well.
All in all, it feels very much like The Sandman did ten years ago thanks to the narrative's slightly dreamlike quality. It's not quite as profound or clever, but it's compelling, and the art, by Amy Reeder Hadley, is simply beautiful. It feels like a return to old-school Vertigo and the early days of Swamp Thing and Hellblazer, and that's a very nice feeling indeed.
So again, I really recommend this comic. It's a quality read - don't miss out on it!