In the comics, they are created from Nerissa's despair, pain and hatred (Shagon and Khor are actually a boy and his dog who wondered on mount Thanos). Also in the comics, they are also called the Four Knights of Revenge.
In the television series, Shagon and Khor were Matt's and Mister Huggles' dark sides.
In the animated show W.I.T.C.H., the Knights of Destruction replacing the Knights of Vengeance as Nerissa's new servants, consists of Matt as Shagon, Mr. Huggles as Khor, Tridart and Ember are made of lava and ice. Shagon loves making Will hate him more everyday. Just as Shagon's target is Will, Tridart targets Hay Lin, Ember targets Irma, and Khor targets Taranee.