My personal favourite at the moment is... Anub'Arak.
Why? Because he's a really sad story who is often just cast aside.
While he's extremely loyal and helpful to Arthas during The Frozen Throne, there's much to prove that he's just another sad slave under the Lich King.
In "Path to Damnation", he meets with Kel'Thuzad, the soon to be damned mage and councilmember of The Six in the Kirin tor. The following dialogue occurs:
Anub'arak: The nerubian race, yes. Then the master came. As his influence spread, we made war upon him, foolishly believing we stood a chance. Many of us were slain and raised into undeath. In life I was a king. Today I am a crypt lord.
Kel'Thuzad: In return for immortality, you agreed to serve him. Remarkable.
Anub'arak: 'Agreed' implies choice.
This, strengthened by his dying words in Azjol-Nerub: "Ahhh... RAAAAAGH! Never thought... I would be free of him...", to me, says he's just another slave under Arthas and Ner'Zhul. The sad part is how few realize this. People who are partially interested in the lore tend to think of him as "just another evil right hand of the Lich King", and even his own people hate him for the betrayal they think he was capable of resisiting. He is, after all, dubbed "The Traitor King".
To me, it feels like being killed in Azjol-Nerub was a great blessing upon Anub'Araks storyline. It's the only peace he has found at soul since the Spider War.
Your turn :3