The Nathrezim are a race of demonic beings which hail from the planet of Xoroth (along with the dreadsteeds) that were originally found by Sargeras, and incorporated into the Burning Legion as field commanders. They are similarly tasked as the personal emissaries and message carriers of the demonic leaders of the horde of demons, Kil'jaeden and Archimonde. The dreadlords have served this functionality for several centuries willingly, as they delight in the destruction of the worlds the Burning Crusade have left their mark on.
Flash forward to the end of the Second War (Warcraft II) on Azeroth and the subsequent destruction of Draenor (expansion), the planet of the orcs. The leader of the orcs on Draenor, Ner'zhul, is floating aimlessly in the Twisting Nether, when he is approached by Kil'jaeden and made the Lich King. Imprisoned in a stone cold block of ice, the deal he makes is to raise the Scourge, the most dreaded army to ever see the light in Azeroth in return for survival. The nathrezim are set above him as his jailers and his taskmasters, to ensure that he does not deceive the Burning Legion in its quest for the destruction of Azeroth. The specific dreadlords serving this role were Anetheron, Balnazzar, Dalvengyr, Detheroc, Mal'Ganis, Mephistroth, Tichondrius, and Varimatrhras.
The dreadlords began the implementation of the Legion's plans for Azeroth, by spreading the Plague, for which the Lich King was made. However, the Lich King had other ideas about his imprisonment, and so they each began to fall to their seeming deaths. First Mal'Ganis, who's main purpose was to turn the noble paladin Arthas toward the path to becoming the Lich King. He fell before Arthas, wielding Frostmourne, on Northrend, betrayed by the Lich King.
The second to fall was Tichondrius, to Illidan. Tichondrius was an influential part in the death of Uther Lightbringer, the destruction of Quel'Thalas, and the siege and razing of Dalaran, from whence Archimonde was summoned. Tichondrius had been named leader of the Scourge after Archimonde decided the Lich King was of no further service, and was using the Skull of Gul'dan to corrupt the forests of Kalimdor. The skull was stripped from him; Illidan used its powers to end Tichondrius' life.
The go-between of Tichondrius and Archimonde, while Archimonde still existed in the Twisting Nether, was Anetheron. Anetheron would serve as one of Archimonde's personal guards after Archimonde's return to Azeroth. He fell at the battle of Hyjal, which wiped the Burning Legion from the face of Azeroth. The next to fall were Detheroc, Balnazzar, and Dalvengyr, perhaps ironically, as they were slain by enemies to the Lich King, the Forsaken. Related is the story of Varimathras, assistant to Sylvanas in leading the Forsaken.
Fast forward a little more. The Lich King was violently attacked by a brutal assault from afar by Illidan, and he lost some control over a minority of the Scourge, among them Sylvanas Windrunner. Detheroc, Balnazzar, and Varimathras had been left in control of the Plaguelands after Arthas had left for Kalimdor, and when he returned, they attempted to kill him for his treachery. He escaped. After the assault by Illidan, the three deathlords and Sylvanas (as the leader of the Forsaken) made a pact to control the Plaguelands (formerly Lordaeron). After seizing control of the Capital City, they attempted to coerce Sylvanas into joining their new order. Sylvanas had none of it, and subsequently turned on the dreadlords.
She first targeted Varimathras, who proved an easy target. He was defeated, but in exchange for his life, he would serve for Sylvanas. Detheroc came soon after, and was also killed. Her next target was Balnazzar, who had control of the Capital City. His armies also fell, and he was slain by Varimathras, something that the dreadlords were forbidden by a code of honor to do, in order to gain Sylvanas' trust. The last was Dalvengyr, who simply refused to join Sylvanas. He too perished at the dark ranger's hands.
The only remaining dreadlord of the original eight used to control the Lich King is Mephistroth, who had bided his time in the Twisting Nether, or at least was thought until recently. It seems that Balnazzar had lived, and had assumed the skin of Saidan Dathrohan, one of the founders of the Scarlet Crusade. He was found out and slain by a band of adventurers in the Scourge dominated town of Stratholme.
There are other tidings that some of those supposedly disposed of or made to serve are scheming out of site and out of mind, awaiting their chance to strike at the Lich King and the Forsaken. Rumors abound about the section of the Scarlet Crusade has sent to war with the Scourge in Northrend, the Scarlet Onslaught. Consider this: Balnazzar was supposedly killed by Varimathras, and yet he lives. His position was one of power within the Scarlet Crusade. Is it possible that there are other dreadlords that have infiltrated the Scarlet Crusade, and what nefarious purpose might they serve?
The other tales flying around regard the current sub-ruler of the Forsaken. Is he as loyal to Sylvanas as he claims? Is it possible that like Balnazzar, he has simply been biding his time, waiting for the opportune moment to strike at both the Forsaken and the Lich King? Is he so true to the cause of the Forsaken as to be a non-threat? Where do his true loyalties lie?
WOTLK:About The Wrath Nathrezim