I won't lie to you. I wasn't anticipating liking this volume at all. Orpheus in the Underworld seemed like it riffed too much from Sandman, and it ended with a crass crossover ploy that soured the entire story for me. I wasn't ready to give up on the series all together, but I was hesitant to see where it was going to go from that point.
Luckily, Carey (and, I suppose, Willingham; they collaborated on the story here) surprised me. This wasn't a straight crossover event, and I don't think it wasn't something that required readers to follow both stories to understand (though it would certainly help). Carey visited a world of Fables, instead of the world of Fables, and incorporated the idea of the power of story quite well. I liked the way he manipulated the idea of reality in one world as being fiction in another. It drew more clearly the line that separates the story from simply being metafictional to being a compelling, interesting story in its own right.
Also, one of my biggest complaints about the end of Orpheus in the Underworld was that Tom was on a journey to the center of all stories, and wound up in Fables. It seemed insubstantial, all things considered, but it turned out that Tom just wound up in the wrong place due to Frau Totenkinder's summoning. In the end, it didn't feel out of place, or like a gimmick; it felt like it was a necessary progression for the story.
I'm very interested to see where the story goes from here. I know I could read the series from issue to issue, but I much prefer reading the collections to get the entire story at once. As it is, I already miss details from one volume to the next, and reading snippets of story from one month to the next just won't work for me.