Azkaban is a poison; it seeps into your thoughts, eats away at your mind. Bellatrix is a near-victim of this decay, and freedom tastes sweet, the sound and feel of it foreign as it intoxicates.
She knows that maybe she's gone a bit mad, that her beauty has long since faded, that she's been scarred and these sorts of things don't just go away.
And she knows that somewhere, Harry Potter is grieving, and this – this thrills her. For though she's been deprived, she certainly hasn't lost her taste for the exquisite.