"The Night's King was sort of the embodiment of absolute evil," producer D.B. Weiss said in a feature after the episode aired. "What you're watching is the creation of this absolute evil, so the absolute evil isn't absolute after all." 

So we now know the Night's King was the first White Walker, created millennia ago by the Children. And though he appears to be pure evil, there was once an innocent man underneath that icy facade.