Because the only books that HarperCollins (who run and maintain this website) put anything up about on this website are the ones that they publish. It's not that they have anything against putting something up on Good Omens, or the Sandman graphic novels, or The Day I Swapped My Dad For Two Goldfish, it's just that someone would have to write the material and put it together for them, and that someone would probably be me, so it just never seems to happen.
There was a new bibliography that was done for the website, and should have gone up some months ago. In the meantime, going to any of the online booksellers and typing in "Neil Gaiman" should give you (er, does it quickly on Amazon where it gives 69 results but some of those are introductions and suchlike) well, it should give you a fair idea.
If you pick up a copy of Smoke and Mirrors, it has a pretty good "by the same author" listing in the front, although it was so long and unwieldy we cut it back for American Gods.
Looking at Amazon, incidentally, it's sad to see that they've got rid of the editorial content -- the SF/Fantasy and the Horror "Subjects" used to be well maintained and terrific resources, filled with interviews and articles and knowledgable criticism. Now all that material has vanished, and the lead pages for the subjects are barren. Pity.