Neil Gaiman and Dave McKean have collaborated on a 2005 feature film called MirrorMask. Neil wrote the script and Dave directed and also co-wrote the story with Neil. The movie is from Sony Pictures and Jim Henson Productions and combines digital animation with live action. You can find the web site for this amazing looking movie at sonypictures.com. The movie started playing at select theaters on September 30, 2005 and will continue be shown at others in the near future. (The official web site will help you locate theaters that are showing it.) You can find a trailer for this film at apple.com and more details at imdb.com and movies.yahoo.com.
The movie is the story of Helena, a 15 year-old juggler "working for her family circus, who wishes--quite ironically-- that she could run away from the circus and join real life. But such is not to be the case, as she finds herself on a strange journey into the Dark Lands, a fantastic landscape filled with giants, Monkeybirds and dangerous sphinxes. Helena searches for the Mirrormask, an object of enormous power that is her only hope of escaping the Dark Lands, waking the Queen of Light and returning home."
You can purchase the hardcover book "Mirrormask: The Illustrated Film Script of the Motion Picture from The Jim Henson Company" by Neil Gaiman and Dave McKean, from Amazon.com. The book contains the full screenplay of the movie and more than 1,700 illustrated storyboards.
Finally, there is an article posted to Mtv.com where Neil Gaiman reflects on this film. Tori Amos is mentioned in the article. It says that Neil's next movie project is a version of "Death" that he will direct himself starting around the Spring of 2006. The article mentions that Neil would like for Tori to score that film! (Thanks Missy and Clint for telling me about the article.)