Death knight is the name of a hero class shared by two separate organizations of powerful necromancers. These orders share a few things in common, including riding horses with horned skulls and many of the same abilities.
Shadows of Justice
Orgrim Doomhammer's first act as the new Warchief of the Horde was to crush the orc warlocks of the Shadow Council. He grudgingly spared the council's former master, Gul'dan, in exchange for the warlock's servitude; in turn Gul'dan promised to create a host of powerful new warriors to serve the Horde. After experimenting at length with the souls of the recently slain council members, Gul'dan successfully instilled the spirit of the necrolyte Teron Gorefiend into the corpse of a fallen knight of Stormwind. Thus, the first terrifying death knight was born. Gul'dan transformed his other council members as well, creating a vast legion of unholy warriors whom sowed chaos and fear throughout the land of Azeroth during the Second War.
Following Gul'dan's desertion and death, part of the Horde, including the death knights, retreated through the Dark Portal to Draenor. Most of the surviving death knights disappeared after Draenor's destruction, though some of these death knights, along with Ner'zhul's other prominent spell casters, were later captured by the Burning Legion and transformed into liches. These liches were stripped of their free will by the Demon Lord, Kil'jaeden and were reappointed into the service of his new pet, the Lich King, in order to better assist him with his task. These liches served as Scourge spell casting heroes.
Eventually the whereabouts of a powerful death knight, Teron Gorefiend — who had escaped the fate of his kin — was revealed as a malevolent abomination whose restless and embittered form now resides in the Black Temple of Outland. Teron Gorefiend deceives players with a fabricated account of history that tricks them into assisting him, and thus the deception ultimately results in his release from eternal imprisonment. Based on the logic that his entire story was a nothing more then a ruse, it is perfectly reasonable to assume that there may be numerous first generation death knights, like Gorefiend, who escaped the legion's capture and still exist in their original form.
Champions of the Lich King
Years after the destruction of Draenor, the immensely powerful Lich King created a new breed of death knights: malevolent, rune-wielding warriors of the Scourge. The first and greatest of these was the Lich King's chosen champion, Prince Arthas Menethil, once a mighty paladin of the Silver Hand, who sacrificed his soul to claim the runeblade Frostmourne in a desperate bid to save his people.
Unlike Gul'dan's death knights, these dark champions do not possess free will and their minds are inexorably entwined with and dominated by the Lich King's vast consciousness. Despite the heavy costs of free will, some powerful mortals are intrigued by the promise of immortality and pledge their souls freely into the Lich King's service to achieve it. (Baron Rivendare is an example of this).
In the years since Arthas shattered the Frozen Throne and merged with the Lich King, the power and fury of the death knights has only grown. Now these unrelenting crusaders of the damned eagerly await the Lich King's command to unleash their fury on Azeroth once again.
The Ebon Blade
The Knights of the Ebon Blade is a faction consisting of the renegade death knights that broke free of the Lich King's control after the battle of Light's Hope Chapel (in other words, player-created death knights). Led by Highlord Darion Mograine, the Knights of the Ebon Blade have allied themselves with the Alliance and the Horde with the help of Highlord Tirion Fordring of the Knights of the Silver Hand, and have pledged to do their part in defeating their former master, the Lich King. Their main base is Acherus: The Ebon Hold, a former scourge necropolis in the Eastern Plaguelands. (It should be noted that the Knights of the Ebon Blade are not a separate player faction such as the Alliance and Horde. For the purposes of gameplay, player-created death knights still belong to either the Alliance or Horde depending on their race.)
Here is a list of Death Knight.