Simply put, "The Kindly Ones" is a study of Morpheus' collapse, and, as such, follows the conventions of tragedy. And in true tragic fashion, Morpheus' downfall is precipitated from within: in this case, an unerring commitment to his office and the responsibilities contained therein, even when adhering to those principles ensures his inevitable demise. Clever as he is, Gaiman never truly indicates why Dream so resolutely marches towards this fate: is Morpheus punishing himself for the sins of his past; does he believe we all have predestined ends, and his particular position obligates him to make choices consistent with it, consequences be damned; is he simply not as insightful as he appears, and naively making choices that are destroying him? Although, by this point, he has appeared in nine volumes, Dream continues to elude facile generalizations of his character and remains deliciously enigmatic. Even the lot of Morpheus at the end of this volume is uncertain; death and life appearing to be rather fluid and interchangeable concepts, much like the ankh symbol worn by his adorable, and equally paradoxical, older sister, Death.
As Mikal Gilmore notes in this insightful Introduction to "The Wake," the title not only points to those 'kindly' ladies, the Furies, but others whose acts of kindness (Hippolyta, Thessaly, even Morpheus) similarly precipitate Morpheus' fall, either purposely or not. It is remarkable Gaiman has constructed a character whose humanization and kindness eventually destroys him. You certainly won't find this level of psychological sophistication in your average run-of-the-mill comic title or novel.
This volume gets my vote for the pick of the series; not an easy task when you consider the immense quality of its predecessors. But there's a sense of urgency in the unfolding of the plot, a self-awareness that things are coming to an end, leading to the inescapable conclusion that this title is the crescendo of the Sandman library. All the unresolved plotlines in the earlier volumes flourish here and result in the climactic conclusion. We learn that the fate of Morpheus is intertwined with the fate of the series itself, and I for one can't think of a more appropriate ending.