Despair is the twin sister of Desire. She is squat, flabby and pale-skinned, with black hair, gray eyes, and pointed teeth. Her voice is little more than a whisper, and she has no odor, but her shadow smells musky and pungent, like the skin of a snake. She does not wear clothes. On a finger of her left hand she wears a ring with a hook attached to it, with which she habitually carves her flesh. The hook is her sigil in the galleries of the other characters. Her realm is a gray space in which floats a white fog and countless mirrors, which are connected to mirrors in the human world, through which she looks on those who are in despair. The only inhabitants of her realm are her and her pet rats.
Despair sometimes acts together with Desire when she/he is plotting against the elder Endless, most notably when Despair takes on a challenge with Morpheus over the life of Joshua Abraham Norton, seemingly at Desire's bidding. She is less distanced from the family than Desire, though, and seems to have some feeling at least for Delirium, and also seems to miss Destruction. She does not say much, and consequently appears brusque, but her speech at Morpheus' wake in The Wake reveals her sympathy and feeling for him.
In the beginning of Season of Mists (Sandman #21), it is mentioned that Despair was once declared a goddess by a sect, called the Unforgiven, in what is present day Afghanistan. All empty rooms were proclaimed to be her sacred places. The sect existed for two years until the final member killed himself, having survived all others by seven months.
Late in the series, it is revealed that the Despair we see is not the first Despair, but a second aspect. The original Despair is seen in Endless Nights during Dream's story. She is depicted much the same way she is now, fat, flabby, and unclothed, but taller and with red tattoos all over her body, and more talkative. It is also revealed in Brief Lives that, like Daniel Hall, she was originally someone else who took up the mantle of the first Despair upon her death. In Worlds' End, we see that the Old Necropolis was destroyed because the inhabitants laughed at the other Endless for wanting the first Despair's cerements. The only hint to the manner of the first Despair's death is given by Daniel in his conversation with Lyta Hall during The Wake: "The person who was responsible for the death of the first Despair will take the rest of eternity to die. Only then will his pain cease... And he had better cause for what he did than you."