Piers Anthony, in On a Pale Horse, suggested that Death was not always the same person. Although immortal, if a mere human managed to kill death when it came for him, he took the robes of office and became the Thanatos until the next mortal killed him.
Of course, my favorite story based around death was Grim Fandango. The main character, Manuel Calavera, is a travel agent in the Land of the Dead, selling people Luxury cruises and Express Train tickets to the final resting place. Manny's best quote, or one of them at least... "My scythe. I keep it where my heart used to be."