Entire universe is conquered by death, yet in the form of Mahakaal Lord Shankar controls the controller of death . Therefore he is known as Kaalkaal, because he is the master of all-devouring time cycle (Kala).
Puranas state that Kaleshwer protects his devotees from the mouth of death, so he is called Mahakaal. When Markandeya was just five year old, then Yamraj (the lord of death) came to grab hold of him. Sage Manvak craved for the mercy of Mahadeva— “O Lord Chandrashekhar! You are the only savior of your devotees.” At that moment Lord Mrityunjaya tossed away the Yamraj itself into the mouth of death and Markandeya got the boon of immortality. While pleaded by demigods, Mahadeva again awarded life to Yamraj for the administration of the world. Another time the most powerful Lord had put en end to all-ending death, in order to protect king Sweta. In the story of Mahakaal also, Shankar personally appeared in front of Devapriya, Priyamedha, Sukrita and Suvrata to save them from mouth of death. Moreover, Lord Hara is the dispeller of death of Swetaketu, Nandi and Grihapati. Finally Yamraj was defeated and accepted the authority of Supreme Lord Kaalkaal and he ordered to his assistants that whosoever puts the Tripundra mark on the forehead, who wears the Rudraksha beads and holds tresses and who attires like Lord Shiva, such souls should never be brought to his court. This sense is expressed in Aalwaal as under—

मार्कण्डेयः कालमुखाद्विमुक्तो दग्धो रुद्रः काल इति प्रसिद्धः।
तुर्यां मूर्तिं बिभ्रदुमादिनाथ! प्रख्यातोऽसि त्वं भुवि कालकालः॥

You bring death even to Kalagni-Rudra, and you personally appear as the forth deity of death. So you are named as Kaalkaal. Achieving the transcendental state by the process of self-realization is the true form of worship of Kaalkaal.