Piers Anthony is a very witty author. I read On A Pale Horse a number of years back and very much enjoyed it as well. I would recommend that you read through his other 'incarnation' books as well. I haven't read all of them (only the ones I've found for cheap at used bookstores....back when I was reading a lot - i.e. before university took over my life), but the ones I did read, I liked.

Also, I can't talk about this book, without also talking about Mort by Terry Pratchett. That's another book where the profession of Death features centrally, except in this one the main character is taken on as Death's apprentice. Guaranteed to get you many strange looks if you read it on the bus because you'll probably be laughing out loud at Pratchett's writing. He's awesome like that.