Besides being Zeus's main messenger, Hermes was also known as a psychopomp. So, when he wasn't running around doing Zeus's bidding, he was also escorting the souls of the dead to the Underworld. Hermes was actually more widely known as the chief pyschopomp, while Thanatos was thought of more as simply the incarnation of Death. (We wonder if Thanatos got a demotion after the Sisyphus incident, since Hermes had to come in and clean up the death god's mess.)