Okay so after seeing yet another person making a thread to ask why there must always be a Lich King I figured I would just make my own thread to quickly address the issue. Please spread this word around and work together to get everyone to stop asking this fucking question. Let's begin.
This whole issue came to be during the post-fight cinematic for the Lich King encounter way back in ICC. Terenas speaks the fateful line: "Without its master's command, the restless Scourge will become an even greater threat to this world. There must always be a Lich King.", and thus 10 years of people asking WHY DOES THAT MEAN??? became a thing.
So first of all, The Burning Legion brought the Plague of Undeath to Azeroth. You got the plague, you died, you turned into zombie and Ner'zhul the Lich King used his psychic power to take over your brain and make you have abomination orgies or whatever.
Basically, it works like this (more or less), anyone with enough power and knowledge or whatever can use Void magic to turn dead people into zombie sex slaves. You raise a ghoul then you telepathically enslave it. The Lich King, thanks to the powers granted to him via the Legion, has immense control over undead. Because of the Lich King, random joe-shmoes can't make their own undead armies and control them; the Lich King would simply wrest control from them.
So, No Lich King = Anyone can fuck around with making undead minions. Anyone fucking around with undead minions = A problem.
In fact, after Arthas' defeat we immediately begin seeing problems with this in Cataclysm. Sylvanas begins raising her own Forsaken, Darkmaster Gandling of Scholomance fame is now raising his own army in the Andorhal questline and there's that one boss dude in the updated Scarlet Monastery that's raising undead willy-nilly like an asshole. Bolvar didn't have as perfect a grip on the Scourge as the original Lich King did, and we saw the ramifications of that via more people gaining more power over enslaving the undead.
There were moments when the Lich King's power was compromised, as well. In Warcraft 3, the Lich King was suffering a feigning of power which resulted in Sylvanas and thousands of other undead breaking free of his grasp, who all became the Forsaken. In Wrath of the Lich King, after suffering a defeat at Light's Hope in the Death Knight starting quests, the Death Knights were able to break free from the mental grasp of Arthas.
To summarize: The Lich King's mental control of the undead prevents people from making their own undead minions; or undead armies. It's better to have the control of the undead centralized to a single place than it is to worry about any aspiring mage creating his personal zombie army. Now please stop asking why we need a Lich King.