A film of Neverwhere is currently in development at Jim Henson Films, with a screenplay by Neil Gaiman.
Update from November 17th! According to Cinescape:
Loncraine Helming ‘Neverwhere’
Helmer Richard Loncraine (Richard III) has signed on to direct the big screen version of Sandman scribe Neil Gaiman’s Neverwhere, according to a number of sources. Loncarine will direct from a script by Gaiman himself to tell the story of a well to do Londoner who attempts to help a princess avenge the murder of her family. His search eventually takes him to a strange underworld of the city which may be an alternate reality. The film will have a budget in the $30M range and will start shooting in London in the spring. Denise Di Novi, Lisa Henson and Kristine Belson will produce.
Check back here in the near future for more information as it becomes available, or check out Coming Attractions Neverwhere Entry.