The Four Horsemen
"The most powerful death knights within Naxxramas are the four horsemen. They represent the pinnacle of Kel'Thuzad's guard. The first, Thane Korth'azz, holds the power of flame. The next, Lady Blaumeux, calls forth the power of shadows, drawing the souls of the living into the voracious embrace. Sir Zeliek, a paladin in life, so strong in his faith, that even in undeath, the power of the light still heeds his call, smiting his foes in battle. The final death knight, Lord Mograine, was the finest warrior that the death knights had ever seen. However, after the events of Azeroth, he vanished without a trace. Kel'Thuzad has appointed Baron Rivendare in his place."
—Commander Eligor Dawnbringer
If you go to Wintergarde Keep, there's a guy walking around in one of the buildings talking about the bosses in Naxxramas. That's Commander Eligor Dawnbringer, and that's what he has to say about the four horsemen. He was previously at Light's Hope Chapel, mediating between the Argent Dawn and Scarlet Crusade, but enough about Eligor. You wanted to know about the four horsemen.
Well, for those that may not know, there are actually five horsemen. One of the original Horsemen, from pre-Wrath Naxxramas, was replaced with Baron Rivendare when Naxxramas moved to Northrend. That horsemen was Alexandros Mograine. There's a lot of lore around Mograine, and surprisingly, there's fair amount about Rivendare as well. There's less so about the other horsemen, but we can make some assumptions based on what we know about them. Here they are, one at at time.
There's a lot of lore behind Mograine, and his story is even current in the game through his son Darion. I wrote a blog post about him some time ago, you can read that here if you like. Here is the short version. Mograine was a Paladin of the Silver Hand, one of Uther's men, and an outstanding guy. On the battle field in front of Blackrock mountain he finds an orb of dark power, and takes if from an orc warlock. Then he and several followers of the light use their holy power on the orb, turning it from black to a glowing white. Then he makes a sword out of it and calls it the Ashbringer. Turns out this sword does a good job of killing scourge. Mograine actually founds the Scarlet Crusade, but unbeknownst to him, the Burning Legion possesses one of the commanders of the Scarlet Crusade and plots against Mograine so that they can turn the Crusade to their own purposes. They do this by possessing one of Mograine's two sons, Renault. In front of Stratholme, after a horrific battle in which Mograine slays thousands of scourge with the Ashbringer, Renault appears and murders his own father. Renault is then made a High Commander in the Scarlet Crusade and is the High Commander Mograine within the Scarlet Monastery.
Mograine, now dead, is raised as Death Knight and placed in the service of Kel'thuzad as one of the four horsemen in Naxxramas. This next part is a little screwy due to game mechanics. When Mograine was a horsemen in old Naxxramas, he would sometimes drop the Corrupted Ashbringer. If a player then equipped it and went to the Scarlet Monastery, the NPCs would recognize the sword and bow to you. And when you got to Highlord Mograine, Renault, Alexandros Mograine's spirit would rise from the sword and slay his son for murdering him. Pretty cool, huh? Well, lore-wise, the person who did this was Darion Mograine, Alexandros' second son, who went to Naxxramas to find out what happend to his father, killed him, took the sword, and then went to find his brother and tell him what happened, only to have his dead dad's spirit rise up and kill his brother in front of Darion's eyes. Trippy.
This last part is a bit of a spoiler, but it helps explain where Darion is currently. After the events in Naxxramas and the Scarlet Monastery, Darion returns to Light's Hope Chapel where the Argent Dawn is preparing for war against an innumerable amount of Scourge. The war is nearly lost until Darion realized that in order for his father's spirit to truly rest, Darion must make a sacrifice of love. In the middle of the fight Darion kills himself with the Corrupted Ashbringer. His sacrifice causes a holy light to obliterate the entire scourge army, but at a huge loss. Kel'thuzad then raises Darion as a Death Knight. Anyone who has played through the Death Knight area will know who Darion is, as he plays a huge role there. And he can be seen later in Icecrown as the leader of the Knights of the Ebon Blade.
We all know Baron Rivendare as the last boss in the dead side of Stratholme. While there's really not a lot else known about him, it's actually a bit more than we know of the other horsemen. Rivendare was a wealthy land owner and a friend of Kel'thuzad before Kel'thuzad was lured by the then Lich King, Ner'zhul. When Kel'thuzad came back and created the Cult of the Damned, Rivendare gladly joined his friend and helped to spread the plague that consumed Lordaeron. For his loyalty and eagerness to destroy the Argent Dawn, Rivendare was made a Death Knight and placed in charge of the Scourge forces in Stratholme. From above, we know that Darion put his father's soul to rest (at the cost of his own), and thus when Naxxramas moved to Northrend, he had to be replaced, and Rivendare is that replacement.
Now we get to horsemen that have a little less background. Zeleik was a paladin, and thus most likely of the Order of the Silver Hand before he was killed and subsequently risen as a Death Knight. What's unique and interesting about him is that while his body is now ruled by the Lich King, his mind is not. Thus when you hear the horsemen shouting in Naxxramas, they will all make threats and say taunting phrases, but Zeleik tries to warn you away. This could be seen as a mark of his power and devotion to the light when he was alive, that he can retain his sanity in death.
He's a dwarf. And quite possibly has the most entertaining taunt when he calls your raid "slack-jawed daffodils." Other than that, we don't know much. Again, he was probably a paladin. In the Ashbringer Comics, he is called one of Uther's Men, so he was also once a member of the Silver Hand. The scourge seem to have a knack for turning the best paladins into our worst enemies.
And of the Lady Death Knight, we know practically nothing. She uses shadow magic, and is wholly submissive to the Lich King's will. She was probably a former Paladin or Priest in life, and probably also with the Silver Hand as that seems to be a trend among the other horsemen, but beyond that, I haven't found any other information.
So there you have it. Several of the pictures come from the Ashbringer comic put out by Wildstorm Comics, a division of DC. I cannot recommend the series enough, it's great. All of the pictures were taken from Wowwiki.com That's about as much as I could turn up on them all. Thanks for reading and have a good morning.