I read the first four volumes of Saga all in one night. I tore through them so quickly that when I started on volume five, I had forgotten some of the details. The solution was to flip through the last four volumes just to get a cursory reminder of all the crazy things that were going on. This didn't upset me in the least.
The story continues with Markco and Alana still separated, and with Prince Robot IV in pursuit of his kidnapped son, Dengo still trying to negotiate some kind of revolution, and The Brand and her companions on a quest to find an elixir to save The Will's life. So there's a lot going on in these 152 pages.
It could have been a disparate, disjointed affair, but Vaughan manages to pull off combining these diverse stories, since they all intersect like pieces of a puzzle. There's no one element that binds all of the narratives together, but Vaughan has taken care to set them up so that they're all relevant in the grand scheme of the story. Even the ending, which could be viewed as far too coincidental to accept (we're talking young-Kirk-finding-old-Spock-on-Delta-Vega-in-the-Star-Trek-reboot coincidental), still makes sense because of the way Vaughan has set up all of his plots.
This is a tricky thing to pull off well, especially in a continued series like this. It reminds me of some of the side-jaunts that some comics go on when the series outgrow their stories. Swamp Thing and Fables did this, where the core story the authors wanted to tell seemed to come to an end, but the popularity of the series demanded further development. In Swamp Thing, the stories took on new elements that made it more hallucinogenic and philosophical; in Fables, the stories started to feel recycled. Maintaining an interest in the characters and the series seems dependent on knowing when the story should end, and ongoing series don't have that luxury.
Sandman was a series with individual story arcs that supported a larger, more significant arc. I don't know if Gaiman knew at the start where his story would end, but he called the end of the series at the right time. Saga still feels strong and engaging, and I'm hoping that Vaughan knows when to bring this series to an end; it's just too good for it to fall victim to a writer pushing a story too far.