In chapter 3 of Season of Mists (The Sandman #24), there are three creatures shown guarding the gates of Dream's palace (left). The lion refers to the whole group as "Gatekeepers" (p 20-21).
(click either image to embiggen)
The creatures are an eagle-faced lion (I couldn't find a name for a creature like this on Wikipedia's list -- I'd call it a griffin, as Wikia and Wikipedia do, if it had wings), a red wyvern1, and a Pegasus (or a winged horse; both wikis identify this as a "hippogriff," which I think is incorrect because it has four horsey legs).
These creatures are also shown, with very slight variation2, in "A Dream of a Thousand Cats" (The Sandman #18, p 13). Notably, the eagle-faced lion has wings (and may have a simian body; it's hard to tell through the trees), and the red dragon is green. The winged horse appears unchanged.
Is this grouping of creatures based on anything in mythology? I might have taken them for mere random elements in the cosmology of The Sandman, but for their recurrence from issue #18 to #24 (and, apparently, in future issues as well). Is this a traditional set of mythical beasts, or are they merely (consistent) random elements in Gaiman's world?
Might they have a symbolic meaning? Each of these creatures is associated with some symbolic and/or heraldic meaning. Do their presence or actions in the Sandman stories represent something deeper about the Sandman, or the Dreaming?
1 I would have called it a dragon, but Morpheus calls it "Wyvern" in Brief Lives chapter 2 (#42).
2 At least, in my library's copy of the book. We have found differences in editions of The Sandman in an earlier question on this site.