This one is kind of a slam-dunk for an Edgar Allan Poe poem. Death, and especially the death of young, lovely women, is the driving force behind a surprising number of his stories and poems, as it is in "Ulalume." In this poem, the speaker is miserable because Ulalume is dead. So death is a source of sadness. At the same time, though, the speaker wishes that he were dead, so that he would no longer be suffering. In that sense, death is also presented as an escape.
The poem never directly describes the terrible events that threw the narrator into despair. Instead, "Ulalume" creates an effective portrait of grief by showing the effects of death on the human mind and soul.
The poem carefully balances life and death. The life and vigor in the language contrasts with the constant references to death. This reveals the profound interdependence of these two apparently opposing forces.