Now it’s her turn to bring life to one of humankind’s most enduring baddies. Den of Geek spoke with Christie about the process and embracing evil.
Den of Geek: What appealed to you about taking on Lucifer?
Gwendoline Christie: When I finished playing Brienne of Tarth on Game of Thrones, I really wanted the opportunity to play a different kind of role, a range of parts. When [showrunner] Allan [Heinberg] offered me Lucifer, I was hugely flattered and excited for the opportunity to play someone so evil. Lucifer is a lifetime of disappointment and distilled rage. [Lucifer] isn’t interested in doing the right thing, only in satisfying their immediate needs, no matter how petty. We all wanted Lucifer to, in some essential way, look like Lucifer in the comics. I am someone who, as a performer, can look androgynous, and that felt right for this Lucifer.
How was the filming process?
It was so phenomenal working with Jamie Childs, the director, Allan Heinberg, Neil Gaiman, David Goyer… They were just all so collaborative, and they all had a very real and tangible passion for the comics. They really wanted to preserve the comics whilst bringing real life to them. Neil wrote the comics  years ago, so sometimes he would say there were things that he would change or have updated. But because he had such a strong voice throughout it all, you felt very much in the best hands. I adored working with Tom Sturridge. From the minute that I met him—he was in costume, and in character—I knew that he was dedicated to this project.
You’re in an intense mental battle with Dream. What was that like?
Source : https://www.denofgeek.com/tv/the-sandman-gwendoline-christie-lucifer-morningstar/