Plot hole: During Dream's imprisonment, Roderick Burgess eventually dies right in front of him. That means that at that moment, Death is there to take him away. Why doesn't Death - by far the most responsible and the most sympathetic of his family - see Dream, and let him out? It's completely against the order of all things that he is locked up there, so it's not as if Death can't interfere.
Plot hole: The powerful 'amulet of protection' makes the bullets strike the shooters instead of John. Clearly it works not just against magic and other ethereal threats, but also against physical attacks. So why does he almost get knocked over by a car? True, he isn't seriously injured, but he was thrown to the ground. The amulet should have pulverised that car or bounced it at least two blocks away.