Death rides, not for the sake of redemption or revenge, but to save his brother War from the judgement of the Charred Council. His only thought, throughout all the turmoil he faces, is to help his brother any way he can.
Death's Heroic Sacrifice to bring humanity back, thereby undoing War's crime and erasing his sin.
Even better, in the first game, The Destroyer tells War, "Heaven hunts you... Hell hates you. All of creation cares not whether you live or die." Except, at around the same time, Death sacrifices himself with the words, "My brother, War... I would protect him above all."
Hell, even the "Last Sermon" trailer is equal parts heartwarming and awesome. Several people are hiding in a boarded-up church as the priest recites Revelation 6:1 while the world outside goes to hell. Demons start banging on the doors, and it looks like it's all over for these people. Then they hear fighting outside before a bloody scythe blade stabs through the door. The priest slowly approaches the door and looks through the hole made by the scythe. Standing between the church and a massive horde of demons is Death himself, who looks over his shoulder at the priest as if to say "I'll handle this." It just goes to show that even though he's the most feared of the Horsemen and the living embodiment of what awaits us all, Death cares about mankind.