It comes from a book that I would call my favorite novel (so it doesn't include any series) - The Book Thief, by Marcus Zusak. The book is very well written and brings a new perspective to its time period. It is a good read for anyone and everyone.
In this quote Death states he is haunted by humans. Death is haunted by the memory of humans. He is mostly haunted my Liesel's memory. Death is effected by human deaths and cannot shake them. This quote is important because Death shows his feelings.