Ok, so in approximate order of awesomeness, here goes:
--Neil Gaiman has an amazing Death in his Sandman comics. She is female this time, which is cool. (In French, Death is la mort, which IS female, so I think we should get more female Deaths.) Unfortunately, I started reading the Sandman books, and didn't like them. So I'm not going to recommend them. Basically everyone says they're fabulous, though, so don't take my word for it.
--Neil Gaiman also wrote a book with Terry Pratchett called Good Omens, in which the Four Horsemen of the Apocalypse appear. Death is the same Death as in TP's books, I think. And besides him, Pestilence is the best of the other three.
--Jackie Morse Kessler has a series starring the Four Horsemen of the Apocalypse: Hunger, Rage, Loss, and Breath. Here Death is funny and guitar-playing and looks like Kurt Cobain.
--The Book Thief, by Markus Zusak. Narrated by Death. A slightly less human Death than usual, but still anthropomorphic. I liked this WWII book well enough. Most people loved it.
--Keturah and Lord Death. Quite Romantic. But I don't mind! WOW! It must be because I love Death so much.
--"Meet Joe Black", a movie with Brad Pitt. Not my favourite movie ever. This one is not only Quite Romantic, but up to the level of Uber Romantic. I finished it, though, so that's something, I guess. But it does star Death as a character, so it deserves to be on this list. Plus Anthony Hopkins is in it, so there's that.
--The TV show Supernatural has a Death character in a couple episodes. I think this Death wins for best entrance, what with all the slo-mo and creepy "O Death" song.
--And there must be more. There SHOULD be more. Does anybody know of any more? (I started reading On a Pale Horse by Anthony Piers, but didn't finish. There are also many good books and some TV with people who have Death's job, but none of them are actually Death himself as an Anthropomorphic Personification. Thus Hades from The Lightning Thief series doesn't count.)