While Baum's conception of Father Time is associated with death due to his life-ending scythe, the Spirit of Death actually makes an appearance in The Life and Adventures of Santa Claus. It's a small role, consisting simply of Death hovering over Claus's bed and then angrily leaving when the immortals show up with the Mantle of Immortality. There's no physical description of Death, but Baum writes of the spirit as female. While the Grim Reaper personification is generally thought of as male, Death in Slavic lore is a woman in a white robe, which is pretty close to what Mary Cowles Clark draws in her illustration of this scene. Her Death actually wears a gray robe, though, to fit in with the somber tone of the picture.
Also, while I've never read Neil Gaiman's Sandman series, I know that his Death is also female, but a younger and more attractive female.
Speaking of the Sandman, he also has a place in the Oz universe. I don't know that Baum himself ever specifically used the character, but he did name the Sleep Fays as a type of immortal in Life and Adventures. According to the description of their king, he "carried a wand from the end of which a fine dust fell all around, so that no mortal could keep awake long enough to see him, as mortal eyes were sure to close in sleep as soon as the dust filled them." The idea of sleep being a result of sand or dust in a person's eyes makes me wonder what happens when a person falls half-asleep, or only sleeps for a few seconds. Does the Sandman just graze them? Anyway, the Sandman appears under his own name (well, title, anyway) in Thompson's Kabumpo in Oz. When Ozma's palace is temporarily perched on top of the giant Ruggedo's head, the Sandman mistakes it for a dream castle, and attempts to jump through it. He hits a window setting and spills his sand, putting everyone in the castle to sleep, except the few inhabitants who never slept. He then goes to tell the story to his wife, and Peg Amy later reports that she'd heard the Sandman lived near there. How she would know this isn't clear, but since Ruggedo and the palace are in Ev at the time, it's not at all unlikely that the Sandman's home is the nearby Kingdom of Dreams. This mysterious location is displayed on the map on the Tik-Tok endpapers, but never explored in the Famous Forty. In Gnome King, Scraps and Peter Brown come across the Sandman's Nap Sack in a pile of items for mending in the castle of Patch, and it turns out to put anyone wearing it to sleep. The Sandman doesn't actually appear, but perhaps he dropped off the sack for repairs. Our sleep-inducing friend shows up again personally in Jane Albright's short story "A Christmas Tree for Dorothy" (a Santa/Christmas Oz story that I forgot about when writing this post), and reveals to the Scarecrow and Tin Woodman that the Wizard of Oz had supplied him with a magic mistake bag to prevent more accidents of the sort in Kabumpo. I suppose the Sandman would count as one of Baum's Sleep Fays, but whether he's the king or a lower-ranking member of the band isn't clear.
Finally, while I already mentioned that Thompson's The Curious Cruise of Captain Santa isn't identified as an Oz-universe story, I suppose it's close enough that I can mention a character from classical mythology who makes an appearance in it. This is none other than Neptune, King of the Deep, who's portrayed as an old man with long green whiskers. Although not described in the text, John R. Neill also gives him his traditional trident. Thompson's version of Neptune is a rather eccentric man who lives in an undersea dwelling with a water place and smokes a water pipe. When Santa drops down his sea chimney and pays him a visit, he gives the sea king some gumdrops and a harmonica, which Neptune happily uses to play sea tunes.