Korriban was stumbled upon by some Dark Jedi who had been exiled from the Jedi Order for beeing too dark. They quickly conquered the natives and proclaimed themselves Dark Lords of the Sith. They inter-bred with the natives, and passed on their Dark Side knowledge to form a powerful Sith Empire. Unfortunately, this empire was pretty much limited to Korribanm since nobody could figure out how to get back to the Republic, so they just hung out and fought each other. About two thousand years later, the Sith Empire, now led by Naga Sadow, managed to find a Hyperspace route and waged war on everyone. After their inevitable defeat, Korriban was mostly populated by tombs. After Exar Kun did his thing, somebody returned to Korriban and managed to set up a Sith Academy, which was repeatedly destroyed, but kept popping back up with the series of Sith Empires that followed. Despite the fact that Sith Lords kept showing up there, the Jedi never really bothered watching it closely. Even Darth Krayt managed to set up a headquarters there.
Most Sith Lords speant some time on Korriban, and many were buried there. Darth Talon was born there.