To play as Lady Death, one must unlock the Number Of The Beast[ihrb.wikia.com] achievement. This is a very hard achievement to unlock and considered one of the hardest in the game. A great deal of luck and skill is required, ensuring Lady Death may be one of the last characters unlocked by the player. This rarity is reflected in her strength as a playable character.

Character wiki page - http://ihrb.wikia.com/wiki/Lady_Death