In the Lord of the Ring series by Tolkien they were called Wraiths. The Wraiths are based on a Scottish word dating back to the 1500's. Interestingly enough I found this web page that describe some of the posts here. Thought I'd add it just for grins and giggles.
http://www.wowwiki.com/Wraith
As an aside, on the Harry Potter series they were called Dementors, which are a fictional creation of the author JK Rowling.