#5 is A Game of You, I believe. It's... well I love it, but the style is a little different.

If you like Lucifer, you should definitely read the Sandman spin-off (title: Lucifer). After finishing Sandman, ofc.

Precisely. The thing about the Devil isn't necessarily that he's powerful (though he is, as evidenced by Morpheus mentioning that the Devil is "far, far more powerful than him"). It's because of his cunning, his ability to make things turn out his way.