Recently he made a guest appearence at a Jonathon Coulton show in Manchester where they performed 'Creepy Doll', a song from Coulton's 'Thing For A Week' album.
Gaiman did a spoken word version of the second verse. The lyrics work really well this way and almost sound like something Gaiman would have written himself. I'm currently reading 'The Graveyard Book', his latest novel and really loving it.
Here's a clip of 'Creepy Doll' with Mr Gaiman...
You can download the annoyingly catchy 'Creepy Doll' here.