The Death Knight is a powerful undead monster originating from Dungeons & Dragons. Taking the form of an armored undead warrior with potent magical abilities, it is something of a more gishy Lich and has become an iconic "upgrade" for the Blackguard, or otherwise martial champion decked out in the most evil attire you can think of fit for a death metal album cover- it's basically the lichdom for the melee chad that leads the army of darkness unto the forces of good.
Death Knights in D&D/D20
Planeswide in most settings, Death Knights hold their origins in the Greyhawk campaign setting- originally created by Prince of Demons Demogorgon after violently raping the treacherous knight Sir Kargoth's eyesockets with his rot-inducing-actually-cock tentacles for three days straight until he died, then arising as an incredibly angry undead-monstrosity with the archetypical lich-like pinpoint lights from within its sunken eye-sockets, alongside his unlucky colleagues in the same fashion. The death knight is a force to be reckoned with, commanding great magical power, usage of power words- typically stun and die, and ignoring AC, they're the martial champions of evil and generals of undead hordes they'd attract as cohorts, beings infused with the power of the Abyss in chaos and evil, and the negative energy of death. Not all of these Death Knights are okay with their current existence, in fact- some instances created by Kargoth's betrayal are in fact- cursed. One may note that in Neverwinter Nights, and Baldur's gate, that Doomknights and Demonknights of Demogorgon also exist, so whether these are separate creatures, doomknights being the most distinct, or placeholders for such creatures is a question left unanswered.
Demogorgon however did not hold onto the rights to his creation for long, the means to creating them were eventually stolen, and distributed across his rivals- Orcus, Eltab, and then every other Tanari'ri. Eventually death knights became known and used planeswide by Demons, Devils, Daemons, and evil deities alike. Death Knights are typically found serving a lich as bodyguards, or meatbags for buffing spells, or as solitary creatures, living in the ruins of towers, castles, and other large structures awarded to military men and militia for valor and service to a local lord. Some Death Knights even continue to manage their fief or holdings unto death, and things either sway to the place becoming abandoned, undead infested, or even a somewhat secure place for an individual to work the lands as they would do in the norm- though the risk of undead attack is greater because of the master's own powers.
That said, in the setting of Dragonlance, Death Knights are creatures of divine origin, statistically stronger than their native abyssal counterparts and made by the act of gods cursing knights who fail to uphold their virtues or assigned tasks. The infamous Lord Soth is the first example of this, a Death Knight above all others that even ended up in the Ravenloft Campaign setting before the gods called before him let him off the hook on his punishment for being a zealous dickhead worried about being cuckolded. Soth also used his powers by reciting songs- which makes him additionally spooky- but the Death Knights of Krynn are by no means a joke, especially in a setting where magic is limited and the advantages of being undead put the risk of all life being wiped out if they were to ever go white walker on everyone's ass very real. Soth also had additional abilities as a death knight unique to himelf.
Death Knights typically had power words, fireballs as a 20th level caster, abyssal blast, the ability to attract undead cohorts, and ex-paladin blackguard abilities, on top of their potent immunities as undead- in effect, they're a basically a straight upgrade for some martial professions give or take.
In 4th edition, the similarity to liches was emphasized by giving Death Knights the same ability to reconstitute themselves after death, with their weapons serving as a kind of phylactery.
The Pathfinder Graveknight is much the same creature, with the dead warrior's soul bound to his armour in much the same way as a Lich's is bound to a phylactery. This tends to go badly for anyone who loots a defeated Graveknight's armour, with the wearer being transformed into a replacement body.
Death Knights in Warcraft
Death Knights in Warcraft are just about what you'd expect from a Death Knight from Greyhawk. Except toss out the whole demonic aspect and just fill it with undead. Hilariously, there are two kinds of Death Knights in Warcraft. First off, there are the ones created by Gul'dan before the events of Warcraft 2. These Death Knights were created using the bodies of dead knights infused with the spirits of sacrificed necrolytes(his own orcish troops). Most, if not all, of these "First generation," death knights were killed by the Alliance and the subsequent destruction of Draenor though the most infamus of them remained, what can be noted of this generation is that they were more akin to martial warlocks than that of the later generations, often sporting a Nazghul-esque appearance. The "second generation," Death Knights were made by Ner'zul not long after he was imprisoned as the Lich King before Warcraft 3. These new Death Knights were either raised into undeath because they were powerful warriors in life, or they're Paladins who've fallen from grace. Most of the time, people assume they're both one and the same since they have practically the same abilities. They're not entirely wrong as Death Knights were just a recycled unit given a new role for a new faction in their next game. The third generation began with Arthas, as the Lich king, creating the Ebon blade, and establishing the rune system, which were archtypes a death knight in his service could assume when pursuing further power- past this, there are fourth ad fith generation death knights which are more of the same, but they include other previous non-death knight races as well.
Despite some shortcomings, Warcraft death knights are particularlry deadly, as they have the ability to shut down spellcasters effortlessly, because they can force choke a bitch from afar- and they have the ability to do edgy underdeveloped derivative blood magic, which is more thematic and made only on rule of cool, NURGLEMODE, and Frostymode.