Sauron created 9 undead of great power from mortal men, the Nazgûl. While it is believed that the Witch King of Angmar met his fate in the Third Age of Arda, and was destroyed for all time, the other eight have a habit of retreating to the Plane of Shadow when destroyed, then gathering their power and returning to Arda.

Comparatively little is known about the Nazgûl, however one of them, Rên the Unclean, traditionally made his fortress in Khey-Sârt, a volcano not too far to the North of Nexus Prime.

It is believed that all eight have returned to Arda and are active again.

Outside sources:

Biographies and maps of the Nine Tolkien Gateway on the Nazgûl