Death Knights were once virtuous defenders of Humanity. However, once the Paladin ranks were disbanded by the failing Alliance, many of these holy warriors traveled to the quarantined lands to ease the suffering of those left within the plague-ridden colonies. Though the Paladins were immune to disease of any kind, they were persecuted by the general populace who believed that they had been infected by the foul plague. A small band of Paladins, embittered by society's cruelty, traveled north to find the plague's source. These renegade Paladins succumbed to bitter hatred over the course of their grueling quest. When they finally reached Ner'zhul's icy fortress in Northrend they had become dark and brooding. The Lich King offered them untold power in exchange for their services and loyalty. The weary, vengeful warriors accepted his dark pact, and although they retained their humanity, their twisted souls were bound to his evil will for all time. Bestowed with black, vampiric Runeblades and shadowy steeds, Death Knights serve as the Scourge's mightiest generals.
In gaming and fiction terms, this would make for an interesting character or characters. Imagine a paladin who's been through an absolutely brutal war. In their more youthful days, they remember entering priesthood, taking on membership in a military order. They remember the halcyon days of saving damsels, smiting evil doers, healing the sick, and doing all the other things a paladin does. Then came that brutal war and over time, that optimism faded and was replaced with pessimism until finally, after a particularly nasty battle, seeing the bodies of his friends, comrades-in-arms, and enemies strewn about, that last bit of light in him goes out. He lays down his arms and leaves the war. Maybe he settles down in a small town far away from the war and becomes the town drunk? He joins a city guard? A farmer or a hermit?