Death Knight and Shadow Priest?

Any thoughts on how to do these classes? Would they be compendium classes?

You mean like In WoW?

The Death Knight is a Compendium Class from the sourcebook Number Appearing.
You can use that.
Someone posted the link to the "No Art" version of Number Appearing.
Since i'm the last of the non -WoW-ites, I can't say anything about this Shadow Priest.
My only advice is: try to go for some PFRPG (Palladium fantasy roleplay game OR Pathfinder Rolaplay Game) and convert some of the similar classes present there.
On this board you can find a lot of conversions to get the idea right.

Yes, like in wow. Bur Death knights or something like it have been seen in Pathfinder, various 3.x supplements etc.

Where is the source book number appearing? I have never heard of it, where do you find it?

The biggest thing about the shadow priest is they have a shadow form that in h DW mechanics would cause damage to be increased by one step and they would not be able to cast healing spells or use healing abilities and some kind of bonus to stealth or something in dark areas or at night. I think it would work like a compendium class for the cleric. Other then shadowform there is some dark shadow magic abilities they have.

Posted Number Appearing without art in this thread:

http://apocalypse-world.com/forums/index.php?topic=6021.0

The only reason there is a Death Knight in there is the awesome surprise art Russ Nicholson did for me, which inspired me to write up the rules. So it's a shame you can't see it yet.