When you read the words "black cloak", one of the first things that'll come to mind is Nazgûl (also known as Ringwraiths, the Black Riders, the Nine and Úlairi, depending on how thick your neckbeard is). Though the black-cloaked bringer of death dates back almost as far as humanity itself (depending on which culture you ask), the whole "black-cloaked figure as the servant of the BBEG" thing in a fantasy setting was made popular by The Lord of the Rings.
In the Books
Back in the day, Sauron forged Rings of Power for the races of Middle Earth. Three went to the Elves, seven to the Dwarves, and nine to the races of Men. The rings passed to the humans would greatly enhance their life spans and abilities: most of the Nine were kings of sorts, but a few of them were powerful warriors or wizards. But the rings were corrupting: and one by one the Nine fell under the thrall of the Dark Lord. this put them in a state between two worlds: this one and the spirit world. This made them borderline immortal and they became the chief servants of Sauron. Bound to the will of Sauron, the power of the Nine was proportional to that of the Dark Lord: if they were as powerful as they were around the siege of Minas Tirith when they confronted the Hobbits and Aragorn at Weathertop, they would have likely succeeded. Their bond proved their undoing as well: when the Dark Lord was destroyed alongside his Ring, the Nazgûl perished as well.
In the book, they were intentionally quite "samey," individuality bleached out of them by the terrible power that consumed them. However, while thematically appropriate, it would make for really boring characters in-game, so GW invented specialized traits and personalities for each of them.
The Nazgûl have more Will than anything on the tabletop, surpassing even the most powerful wizards on the side of good. They are also incredibly tough with a Toughness of 8, and are nearly impossible to wound. This power comes at a price, though: every time a Nazgûl fights in combat, it loses a point of Will. If they run out, they are removed. This requires tactical thinking when it comes to applying their magical powers and putting them in combat. The second is that though they have high Toughness, they only have a single wound each, and can be easily killed with a single lucky roll. The trick to them is that they work best as assassins: by standing around enemy heroes and hitting them with magic (Transfix works wonders), and have your minions swarm them.
The Nazgûl can be fielded in a number of different ways. The first is as the basic Ringwraiths and the Witch-King. This makes them (especially the normal ones) very cheap and perfect for support in small skirmishes. Another option is that of named heroes: there are eight other named Ringwraiths, each with their own bonuses. Some of them make perfect walking support cones, others can be very effective in combat. All of them can be mounted on horses or Fell Beasts, creatures that greatly improve their mobility and hitting power. The Nine are:
- The Witch-King of Angmar is the leader of the Nine, and not to be messed with. He has more Might and Fate than any other Nazgûl, has only the Undying as his rival when it comes to Will, and is one of the best fighters in combat. He can also be given the Morgul Blade: a weapon that can be used once (call before rolling to wound), but if it wounds it insta-kills.
- Khamûl the Easterling is the second in command. Although not as good a wizard as the others, he can use his Will to fuel his Strength, Attack or Fight values, and regains his Will by causing wounds. Despite these abilities, he is not as good as the others for his cost, and should only be taken for fluff reasons.
- The Dark Marshal is a badass. He counts as a living banner with double range, has a higher Fight value than the others (not that it matters much), and looks awesome. He is a top contender for the slot if you're fielding a single Nazgûl.
- The Shadow Lord has a useful ability: anything shot at that's within 6" of him can only hit on a 6. This is an incredible boon to your army's durability, especially when fighting elves or using a lot of troops with really low toughness. He also has a whopping 14 Will, and should be mandatory in any Southlands army.
- The Undying is the most powerful wizard of the Nine: he has an amazing 20 Will, and can use those points as Fate points. He also has the strange bonus of regaining points of Will for every spell cast within 6" (on either side!), making him a fun addition in any army featuring large numbers of casters (Orcs, Goblins), or if you're fielding another Nazgûl. Perfect for longer games.
- The Tainted is what you get when Nurgle makes a Ringwraith. He's a decent caster, but his main ability lies in denying your opponent the tactical advantage by negating any Heroic Moves and Stand Fast within 6". And at the start of a combat phase you roll a d6 for any model (including yours!) in contact with the Tainted, on a 6 it gets a wound. The most likely of the Nazgûl to die due to Will exhaustion, mainly because he is one of the ones that should be used at the forefront of the battleline. He also only has 1 Might and Fate.
- The Knight of Umbar can be described best as a walking old-school Van Horstmann's Speculum. For those of you who do not know: that cringing sound you just heard were the agonized WFB players who lost their powerful heroes and generals to some weaksauce Empire scrub armed with this magic item. By tossing a single Transfix on your target (The Knight of Umbar might be a worse caster than some of the competition, but he has 3 Might points) and charging it, you can copy their Fight, Attack, and Strength values and beat down even Treebeard in a single round. Great assassin.
- The Betrayer is tooled to work alongside the Southlands: he grants more rerolls to all poisoned weapons within 6", and can re-roll his failed to-wound rolls in close combat, all invaluable in the SBG (being much rarer than in, say, Warhammer 40,000). He has 14 Will points, so don't be afraid to throw him into combat.
- Finally, the Dwimmerlaik is perfect as a hero-killer, but in the support role. A powerful wizard with 16 Will (putting him in the third place) with regular rolls needed to cast, a single good roll from Transfix, combined with the Dwimmerlaik's ability to require the enemy to use another point of Might, Will, or Fate when spending said points or uselessly lose the one they were trying to use, then being charged by a troll can put even Aragorn out of combat. Works perfectly as a support buddy for the Undying. He also has a two-handed weapon for when things get nasty.
The Witch-King of Angmar. He will ruin your shit.
Khamûl the Easterling. Master of the Fightan Magics.
The Dark Marshal. He will make sure your army gets shit done.
The Shadow Lord. Is not actually a rock star.
The Undying. Might actually be a Necron, given his unkillable-ness.
The Tainted. Keep away from face.
The Knight of Umbar. If he gets close to your heroes, they're already dead.
The Betrayer. Note how he's wearing a headband around his hood.
The Dwimmerlaik. This guy seems dangerous: you should attack him with your major heroes.