I am looking for any information about mythical heroes or holy figures who ally with death.
I found list of Death Deities on Wikipedia.
But I do not know, where to start searching information about 'death' champions in the mythologies.
In Greek myth, Sisyphus managed to bind Thanatos (god of death) so that no one died until Ares (war-god) came to rescue him. As a result, Zeus decreed a special punishment for Sisyphus when he died, which Sisyphus managed to evade for a while by ordering that no funeral rites be held when he died. Hades, as lord of the underworld, allowed Sisyphus go back to the land of the living and complain of the lack of reverence at his death. Of course, the gods caught up with him eventually, and punished him for making them look stupid.
Another Greek god, the healer Asklepios, got Hades mad by resurrecting the dead. For this bit of showing-off, Zeus zapped him with a thunderbolt and killed him. Despite his father Apollo's pleas, Asklepios was not resurrected.
By commom sense, I would recommend start with hindu or greek myths. So one way to Start is Kali: "Daksinakali - One version of the origin of her name comes from the story of Yama, lord of death, who lives in the south (daksina). When Yama heard Kali's name, he fled in terror, and so those who worship Kali are said to be able to overcome death itself".
Seems what you are looking for. Hope it helps.