OKAY. Lucifer is associated with the traditional...ish Devil. He was the angel Samael and he was the Devil in Hell. He is the Lightbringer, God's Lamplighter, Shepherd of Suns, the Star of Morning, etc. He was there at the beginning of Creation and he led a third of the Host against Heaven and he Fell. He is the serpent and the deceiver, so forth.
Lucifer ( and Sandman ) has also tangled with a lot of the other religions/mythologies ( Susan-o-no-mikoto, the Blue Flint Girl, Norse Mythology ... ). He can also trace Rachel's ancestry when she doesn't even know anything about it, and can see what Elaine is when Elaine can't.
OH YEAH. Sandman/Lucifer is technically set in the DC Universe, and I know there are VAGUE HANDMOTIONS towards continuity so.
SO THIS IS A GENERAL PINGS collecting/discussing post! If you think you might have something with the mythology or religious aspect or maybe were ~touched by an angel~ or were cursed to live forever by little gods or I don't know! Please comment here with information. Also if you have a devil in your canon and think Lucifer might be related or want to work out hilarity or whatnot, comment here too.