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Quite simply, the Rings of Power slowly transformed these Nine from being men into being wraiths- neither living nor dead, and completely enslaved to the will of Sauron. It's one of the effects of Rings of Power on Men and Hobbits- think about what the One Ring did to Gollum, and was doing to Bilbo ("I feel thin, stretched out- like butter scraped over too much bread") and remember that the Nine Rings had been at work on the Nazgul since the Second Age.
The only one I know anything about, was Khamûl who was a Black Easterling. Other than that, I think they were once powerful kings and sorcerers among Men.
one of them lived in the north, the witch king, the leader of the nazgul, he helped (or did he do it himself) to destroy arnor, the great kingdom of the north....
It was the army of the Witch-king of Angmar that destroyed the Kingdom of Arnor. But he came into being long before that. I think his origin is unknown.
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