Wait till you pick up Endless Nights. You actually get to see a cameo by Death in an earlier age when she enjoys being dark and unsettling people with her presence. Makes you wonder what changed her attitude to the peppy death we all love.
Her character path is outlined from her perspective in a story from Winter's Edge #2 called "A Winter's Tale" penned by Gaiman. Unfortunately, at this point there isn't a legitimate means of purchasing the story as far as I know, so you'll have to get ahold of a second hand copy to read it (unless you acquire scans of it through a p2p application of course).
All three of the Winter's Edge issues have Gaiman penned stories related to the Endless, #2's being about Death, and #s 1&3 Desire.
As an aside, it's always bugged me that the Sandman Collections have the issues so terribly out of order. To read them in the proper order you have to read Volumes 1-4, then part of 6, then 5, then more of 6, then 7, then the last of 6, then 8-10. Things would have been far simpler if the issues from 6 had been spread out among volumes 5, 7, and 8 (change vol. 5 from issues 32-37 to issues 29-31, the annual, then 32-37; change vol. 7 from issues 41-49 to issues 38-49, and add issue 50 to the start of vol.
. At the time the volumes were compiled, I don't think they realized that they were going to stay in print so long, so it's understandable that the order is messed up, but they really ought to fix the problem now that Sandman's position as a classic has been cemented (I also think they should combine volumes 1&2, and 3&4, thus bringing the total number of volumes down to 7).
