Despair is the mount of Death, the leader of the Four Horsemen of the Apocalypse, in Darksiders II. He may look like to be weak and emaciated, but he is incredibly strong and will follow his rider anywhere.
Due to the negative comments about how long it took War to obtain Ruin in Darksiders, and the overall grander size of Darksiders II, Despair is available from the beginning of the game and is the main mode of travel from region to region.