Be still my heart, Neil Gaiman is a genius. He's probably my favorite author of all time. I honestly don't remember if there are any specifically bisexual characters in here, but I still thought it was worth a mention. The book that gets the most attention when it comes to alternate sexualities is A Game of You, which includes a major character named Wanda who is a trans woman. It's the only comic book or graphic novel that's ever made me cry. There's also the character of Desire, one of the Endless, who is androgynous. Also, not related to the book, I feel like I need to note that Neil Gaiman is in an open marriage with Amanda Palmer, who is well known for being bi. (Someday, I WILL make out with her!)
A dream of a thousand Cats is my favorite short story by Gaiman in the Sandman series.
Hm, I don't know if I have a favorite, it's hard to choose, and it all depends on which one I've read lately! One of my favorite scenes comes from a Sandman story though. Death: Have a grape. Dream: I do not want a grape. Desire: I could make you want one. On a vaguely related note, I plan to cosplay as Death at Gencon this year.