Gaiman's idea of Death is great, but I'm not sure that she ever really gels as a character. Or maybe it's just that I don't really care about the characters she winds up surrounded by in her own stories. She's iconic, certainly, but not terribly interesting.
For whatever reason, Absolute Death was a big letdown. I'd read most of these stories before, but reading them all together, sandwich between Sandman and Lucifer, they really stand out as little better than mediocre.
If I had to make a guess, I'd say it's a consequence of the fact that of all the Endless, she's the one who has to remain a mystery. Dream, Desire, Despair, etc. are all part of the human experience, but we only encounter Death at the end (and the beginning, according to Gaiman, but I don't think that ever gets explained). Despite all his effort to give her personality and charisma, we can never truly understand what's going on with her.