Worgen death knights are former slaves of Arugal. These former Gilnean citizens of Pyrewood Village managed to escape the wizard's control only to fall prey to the Lich King. During the Death Knight starting quests, you learn how Worgen death knights came to be.
Lord Harford says: Come to finish the job, have you?
Lord Harford says: You'll look me in the eyes when...
Lord Harford says: <Name>?
Lord Harford says: <Name>, I'd recognize that face anywhere... What... What have they done to you, <name>?
Lord Harford says says: You don't remember me? We were both servants of Arugal back in Silverpine Forest. We put up with his merciless torture for ages. It was you who saved me on that fateful night when we escaped Shadowfang Keep.
Lord Harford says: Without you I would have died. YOU! The most noble worgen I ever knew.
Lord Harford says: What have they done to you, <name>? How could this have happened?
Lord Harford says: Remember the worgen you once were, <brother/sister>! You were our savior! Fight this!
Lord Harford says: Listen to me <name>. You must fight against the Lich King's control. He is a monster that wants to see this world - our world - in ruin.
Lord Harford says: Don't let him use you to accomplish his goals. You were once a hero and you can be again.
Lord Harford says: Fight, damn you! Fight his control!
Knight Commander Plaguefist yells: What's going on in there? What's taking so long, <name>?
Lord Harford says: There... There's no more time for me. I'm done for. Finish me off, <name>. Do it or they'll kill us both. <Name>... Remember Gilneas, our beloved home. This world is worth saving.
Lord Harford says: Do it, <name>! Put me out of my misery!