The Skeleton King removes his soul from his physical vessel, granting him increased movement speed and allowing him to walk freely as an untargetable spectre. His physical body will still take damage. Once the Wraith Walk ends, he will reappear where his Wraith Walk last was.
Upon death, Leoric turns into a wraith, staying on the battlefield for the duration of his death. He can't deal damage, or be dealt damage in return, but can slow enemies. Upon the expiration of the death timer, Leoric will return (in physical form) to where his wraith is.
Leoric was under consideration for inclusion as early as 2011. The idea of having a character that didn’t die was one the team looked at - Malthael was considered, but they ultimately settled on Leoric.