Guillermo del Toro thinks that Neil Gaiman is the right man to direct Death: The High Cost of Living, despite the fact that Gaiman has never directed a full-length feature film. del Toro told SCI FI Wire "I think that if anyone knows that character, it's him. And then, if we need to create a support structure, we will. I mean, there is without a doubt no one more qualified to tell that story than Neil Gaiman in my mind." Gaiman wrote the comic mini-series that the film is to be based on.

Gaiman's only directing credit to date is A Short Film About John Bolton, a fictional story about the real-life artist told in documentary style. Gaiman visited del Toro on the set of Hellboy II: The Golden Army to learn from the director and watch him work.

"We talked a lot," del Toro said. "We talked about him directing as soon as possible." He went on to say "I think that Neil is a guy that thinks in terms of ideas and very concrete images," he said. "He's not an artist in the sense that he's not a draftsman, but he is the creator of that universe. ... I think there's a great advantage to not knowing how things should be done. People just go and make them happen, because they don't know that they are impossible. ... I prefer first-time mistakes than 10th-time mistakes. I think these guys are going to have first-time things that no one else is going to do. So hopefully it will happen."

Gaiman created the character of Death, personified as a perky young goth woman, in his critically acclaimed comic series Sandman. Death is the second oldest of The Endless, a set of seven siblings who personify aspects of reality. (The siblings include Destiny, Death, Dream, Destruction, Desire, Despair and Delirium). In the comic of Death: The High Cost of Living, she takes human form in order to better understand humanity, a ritual that happens once a century. During this time, she befriends a suicidal teen and teaches him the value of life.