Then it's "Death". First appearance in Mort.
*cough*The Colour Of Magic
Have you actually checked that in the book?
Information is not consistent in various sites.
Definitely The Colour of Magic
; page 46 of my copy, a version of the classic "Appointment in Samarra" (?sp) story:
RINCEWIND? Death said in tones as deep and heavy as the slamming of lead doors, far underground.
'Um,' said Rincewind, trying to back away from that eyeless stare.
BUT WHY ARE YOU HERE? (Boom, boom went crypt lids, in the worm-haunted fastnesses under old mountains . . .)
'Um, why not?' said Rincewind. 'Anyway, I'm sure you've got lots to do, so if you'll just--'
I WAS SURPRISED THAT YOU JOSTLED ME, RINCEWIND, FOR I HAVE AN APPOINTMENT WITH THEE THIS VERY NIGHT.
“Oh no, not -'
OF COURSE, WHAT'S SO BLOODY VEXING ABOUT THE WHOLE BUSINESS IS THAT I WAS EXPECTING TO MEET THEE IN PSEPHOPOLOLIS
'But that's five hundred miles away!'
YOU DON'T HAVE TO TELL ME, THE WHOLE SYSTEM'S GOT SCREWED UP AGAIN, I CAN SEE THAT. LOOK, THERE'S NO CHANCE OF YOU-?
Rincewind backed away, hands spread protectively in front of him. The dried fish salesman on a nearby stall watched this madman with interest.
'Not a chance!'
I COULD LEND YOU A VERY FAST HORSE.
IT WON'T HURT A BIT.
'No!' Rincewind turned and ran. Death watched him go, and shrugged bitterly.
SOD YOU, THEN, Death said.
Personality isn't quite the same - he kills the fish salesman gratuitously a moment later - but it's close enough to count as his first appearance.
The first really classic quote is from the second book, The Light Fantastic
...Greyhald Spold knows that Death is looking for him, and has spent many years designing an impregnable hiding place.
He has just set the complicated clockwork of the lock and shut the lid, lying back in the knowledge that here at last is the perfect defence against the most ultimate of all his enemies, although as yet he has not considered the important part that airholes must play in an enterprise of this kind.
And right beside him, very close to his ear, a voice has just said: DARK IN HERE, ISN'T IT?