Wicked Soul
Source: Drop. An unrepentant soul that was once trapped inside Frostmourne, and now flits restlessly between worlds. Undead type. It's worth noting that this (if the stats stay at 1420/276/288) is the fastest pet able to use the Haunt ability, making it extremely valuable in pvp pet battles.
Wicked Soul is an unrepentant soul once trapped inside Frostmourne, obtained as a drop from the Lich King in Icecrown Citadel on Heroic difficulty.
Guide awaiting review
Enter Icecrown Citadel
Travel to Icecrown Citadel and set the raid difficulty to Heroic before entering. The Wicked Soul only drops on Heroic difficulty, not Normal.
Defeat the Lich King
Fight your way through Icecrown Citadel and defeat the Lich King. The Wicked Soul has a chance to drop from his loot table on Heroic difficulty.
Consider the Auction House
If you need the Normal-difficulty pet 
Drudge Remains for the Raiding with Leashes IV: Wrath of the Lich King achievement, that one is available on the Auction House and may be less effort to obtain than farming Heroic for Wicked Soul.
Tips
Wicked Soul is part of the Raiding with Leashes IV: Wrath of the Lich King achievement, while the Lich King also drops a separate pet, Drudge Remains, but only on Normal difficulty.
