Trivia: The 11th episode of series 2 was originally going to be a story written by Stephen Fry, set in the 1920s. However, most of the special effects budget for the episode wound up being used for "The Satan Pit", so Fry's episode was bumped to series 3. "Fear Her" was commissioned as a last-minute replacement, and with intentionally minimal special effects. Fry's episode wound up never happening because he didn't have the time to rewrite it with Martha as the companion instead of Rose.
Trivia: The episode takes place in late July/early August, but was actually shot in February. The Doctor's early line where he wonders what is making it so cold, as well as the Isolus pod's heat-sink abilities, were added to cover for why people's breath is visible in outside scenes.
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator