Know Your LotRO Lore: The origins of the Nazgul
When Sauron had created the Rings of Power, he made nine specifically for the most powerful kingdoms of Man. He distributed these under the guise of a Lord of Gifts, which the Men and their greedy natures accepted willingly. It is not specifically mentioned which kingdoms or which Men took these rings, other than the fact that three of them were great lords of Númenor.
According to The Silmarillion, "Those who used the Nine Rings became mighty in their day, kings, sorcerers, and warriors of old. They obtained glory and great wealth, yet it turned to their undoing. They had, as it seemed, unending life, yet life became unendurable to them." This is key in understanding how the Nazgûl could be as powerful as they were. Their lives began as great Men, yet through their thirst for power and greed, they eventually fell victim to Sauron's power.
This process took hundreds and hundreds of years, as their earthly bodies slowly deteriorated and their spiritual forms grew more prominent. They each slipped entirely into the Shadow Realm and were no longer visible to mortal eyes. This is why they wear their black robes when chasing after the Fellowship, to create a form for mortals to see, and fear.
They first appeared around S.A. (Second Age) 2251 but went into hiding after the first overthrow of Sauron in S.A. 3441. They resurfaced around T.A. (Third Age) 1300 to reign terror on the Northern kingdoms and in T.A. 2000, they established their new stronghold in a newly-captured Minsa Ithil, which would then be known as Minas Morgul.
They were led by someone you should all be familiar with if you've played even a few levels of LotRO: The Witch-king of Angmar. This Witch-king is not named specifically, yet it is said that he was "probably of Númenórean decent." He led the Ringwraiths for over 1,000 years under Sauron's command, destroying the kingdoms of Angmar and taking them for his own. The Witch-king can arguably be blamed for the ultimate destruction of the Dúnedain, of which Aragorn was descended.
What's interesting is the Nazgûl's choice of weapons to wield, and those that actually affected them in the story. They carried steel swords, while the Witch-king of Angmar wielded a special insidious knife that he used to stab Frodo on Weathertop. A piece of this magical blade splintered off inside of Frodo, threatening to turn him into a Wraith himself. Yet, later in a fight with Éowyn, we see the Witch-king wielding a large mace.
Their weapons did not stop with physical armaments though, as it is said that they were perpetually surrounded by an aura of terror. Their Black Breath was also said to be poisonous, and would instill the deepest dread into all but the most powerful of creatures. Luckily, the herb athelas (or Kingsfoil) is said to be the only plant to counter the effects of such evil. It is also the herb that healed Frodo from his wound inflicted by the Witch-king.
The horses of the Nazgûl were not demonic horses by nature, but were instead specially bred and raised to endure the great evils of Mordor, unlike any other horse could ever withstand. When the Nazgûl were swept away by the waters of the river Bruinen, these horses were drowned, forcing the Nazgûl to regroup and find new mounts. This is when they were found riding on the backs of great winged fell beasts, and their new title became the Winged Nazgûl.
During the great Battle of Pelennor Fields, the Witch-king was killed by Éowyn and Merry (the killing blow is up for debate among many lore buffs, as they both fulfilled the prophecy), but the remaining eight went on to continue terror during the last battle at the Black Gate. When Frodo (and Gollum) eventually threw the One Ring into the fires of Mount Doom, the surviving Nazgûl were destroyed forever.