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.
The Death Knight is a melee Hero but attacks very slowly making him one of the lesser melee Heroes. The Death Knight is typically the second Hero built by Undead players with the Dread Lord being the first Hero. The Death Knight works very well with Ghouls because of his Unholy Aura, which also combines well with the Dread Lord's Vampiric Aura. Death Coil is useful for healing the Death Knight's army or allied Undead Heroes. Death Coil is also useful for attacking enemy Heroes or units. Death Pact is rarely used but can help keep the Death Knight alive by eating Skeleton Warriors. Animate Dead can be very powerful depending on the units raised and the timing.
Some jokingly refer to him as the healing Knight because 3 of his abilities (Death Coil, Death Pact, Unholy Aura) can be used to heal damage. The Death Knight's Death Coil ability makes him useful for healing units and for attacking other Heroes. His Unholy Aura ability makes him helpful in large allied games where his aura can help a lot of units.
Although the Death Knight is a melee guy it's best to watch him very closely and remove him from battle if attacked. He can be easily killed.
For skill point spending strategies most players research either Unholy Aura or Death Coil first and maximize those stopping only to get Animate Dead at Level 6.