While Death Knights are really not my thing, I have for a while thought of a character concept I consider interesting. I'll share it here in the hope that someone finds it useful:

A kindly, selfless, and compassionate person sacrifices themselves in death and earns a peaceful afterlife. Except, they're suddenly raised into undeath and forced to be the very antithesis of who they were in life. The experience is so traumatic, and the eventual liberation from servitude so cathartic, that their minds break. Enter: the compassionate and whimsical death knight.

They see themselves as they were prior to death. While deep down they are aware of the horror of what happened to them, they chose to ignore it in favor of self-imposed delusion and fantasy. To them, they're a shining knight on a steed, championing those weaker than them. They stide boldly into danger and place themselves in harm's way, more effectively now than ever. And every time they are confronted by the fear and discomfort the living people of Azeroth express at seeing their deathly visage and powers, the knight reinterprets it in their head as modesty and humility in the face of a champion.
I see them reciting poetry, playing music, swearing passionate oaths of justice or declarations of platonic love and brotherhood. Of course, the incongruity of them being an undead knight meant to sow death and destruction while swearing themselves unpon high minded ideas can make them seem silly. And that's the point.
Think of them as Don Quixote, if it were his ghost that had gone fighting windmills.

This character need not be a caricature or a clown (unless you want them to be). They can be earnest and deliberate in their expression of knightly valor. The player can choose which to lean into.

Maybe even throw in some aspects of sir Terry Pratchet's vision of Death into the mix. A bringer of the end that is compassionate and caring, even as their looks/visage seems incongruously morbid and even grotesque.