The Helm of Domination was crafted by the Nathrezim , both to hold the spirit of Ner'zhul and grant him his Lich King powers. The helm, which helps command undead and others, plus the Plate of the Damned, which makes the wearer nearly invulnerable, were bonded to Ner'zhul's spirit and locked within the Frozen Throne. The runeblade Frostmourne was also locked inside the Frozen Throne, but Ner'zhul cast it from the throne so it would eventually find its way to Arthas. Upon shattering the Frozen Throne, he donned the helm and inherited the Lich King's powers. As long as the Lich King survives, however, any creature donning the helm is slain immediately by a surging overflow of power. Only divine or immortal beings are not slain, but they still cannot command its powers if the Lich King is alive.
With the death of Arthas, the Helm of Domination passed to Bolvar Fordragon, who became the new Lich King.
As of the latest expansion cinematic trailer reveal for World of Warcraft: Shadowlands, Bolvar was defeated and the Helm of Domination was torn in half by Sylvanas Windrunner, breaking the barrier between Azeroth and the Shadowlands which stood above Icecrown Citadel.
With the helmet destroyed, the position of Lich King is currently defunct; with Bolvar left with a fraction of the powers he once wielded as well as the Scourge going rampant and invading Azeroth.
Supposedly, the helmet was created in the Forge of Domination, located in the Shadowlands. This explains its connection to that otherwordly realm. It is unclear if the helmet was still created by demons or if this has been retconned.