Here is a list of Russell's works that I have read, in my order of preference.
1) Murder Mysteries
This is a beautiful, amazing work. Russell draws Neil Gaiman's short story about an angelic detective investigating the first murder in heaven.
Read my review.
2) Ramadan
Perhaps his most famous work, this story, Sandman #50, tells of the rise and fall of Baghdad on the whims of a magical caliph.
3) Ring of the Nibelung
A huge magnum opus, this is an adaptation of Wagner's entire Ring Cycle. The whole damn thing. Over 400 pages.
Read my review.
4) Coraline
The most recent book on this list, Russell adapted Neil Gaiman's best-selling children's novel. He must draw from live models, because his people here, particularly Coraline, the pre-teen star, look incredibly realistic.
5) Endless Nights
Russell drew the segment about Death in this Endless compilation by Neil Gamain. I highly recommend getting this; Gaiman hand-picked seven of the most famous illustrators living for it.
6) Batman: Legends of the Dark Knight: Hothouse
This is the first work I saw of Russell's. His detail of Poison Ivy's plants and thousands of ivy leaves is amazing.
7) Gift of the Magi
Excellent short story that I read in a compilation.
8) Isolation and Illusion
This was collected too, and is a briliant showcase for his dreams and imaginative concepts.
9) Tales of the Slayers
Short story set in Victorian times, playing to Russell's strengths.
10) Fables: The Last Castle
Not as good, since Russell didn't complete all the illustration himself.