Handel's setting of this is great in pulling apart these phrases so that it can be seen (or heard) how parallel they are.
They're sung almost simultaneously, so that "death" and "grave" match up, as do "where is thy sting?" and "where is thy victory?". I looked into the source for this text a bit more, and - apparently - it's a quotation of Hosea 13:14: "Shall I ransom them from the power of Sheol? Shall I redeem them from Death? O Death, where are your plagues? O Sheol, where is your sting? Compassion is hidden from my eyes." I'm not sure if it's the case here (although it seems like it is), but some sections of the Old Testament (Psalms in particular) use this parallel structure, where almost the same thing is said in two different ways. There are some other parts of the Messiah that are structured like this, but because it's a duet, the setting of "O death, where is thy sting? O grave, where is thy victory?" is exemplary in musically illustrating that structure.
