It comes with a pen that is also an ultra-violet flashlight, which illuminates the invisible advice in the top corner of each page. Which, when I was told about it by Dave Scroggy, I thought sounded needlessly gimmicky, but which, I discovered this morning on opening the thing, is actually enormously fun, because what you get is a lovely Dave McKeany blank journal to write in, and you only get the peculiar but helpful messages (like "look behind you" or "it was in his pocket all the time") if you actually shine the light thing on them. And I've wandered around the house showing it to people.
I assume that mine arrived a little early. (I checked the neilgaiman.net just arrived page at http://www.neilgaiman.net/just-in.php -- and it looks like the MirrorMask PVC figures have arrived, but they didn't mention the journal.)
(There's a description on the Dark Horse page from which I just stole the picture.)