Nostramo
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Nostramo, also known as Space Gotham, was a Hive World known for being dark as fuck even without all the Grimdark bullshit, due to a combination of excessive pollution and the dying star that might have once been it's sun. Over countless generations, the people who inhabited Nostramo had adapted into a pale, vitamin D deprived, black-eyed people who could see pretty damn well in dark. Before it was destroyed in the early 31st millennium, it was infested with criminal gangs and ruled by corrupt, inbred, sadistic, cannibalistic, hillbilly, equestrian (ok, maybe not the last two) nobles. The planet was such a depressing fucking place to live that the population of Nostramo was kept in check not by the rampant murder or starvation of it's populace, but by the suicide rate.
Things started to get better when Space Marine Batman arrived. As an infant (or as close to an infant as HIS KIND ever were) Konrad Curze fell to his new home in a gestation capsule and left a crater roughly the size of your mom, just like his brother Primarchs did; however, unlike his brothers, he wasn't adopted by anyone (or in the case of Angron, captured, lobotomized, and made to fight for his masters entertainment). Kurze survived in the capital of Nostramo Quintus on his own, eating the vermin of the hive city, killing anyone he came across (although most of these folks were murderous gangster-rapists -that is, gangsters who raped and murdered and not... well, you get the idea). After realizing that he was much stronger than anyone else on Nostramo, he tried to cleanse the hive city of it's murderous gangs and criminals (so pretty much everybody). He left the corpses of criminals beaten to a literal pulp in plain sight, enough bodies to clog the sewer systems IN THE SEWER SYSTEM, and mutilated and flayed his victims bodies only to nail them to the outside of unsuspecting peoples homes (like some weird, flesh obsessed Santa). Regardless of what methods he employed, Kurze would always leave the corpses of his victims in sight to seed fear in the hearts of the people. To this end, the people of Nostramo began to call Kurze "The Night Haunter", and the name stuck. In the end, his anti-crime campaign worked out pretty well, and he picked up an edgy nickname. So everybody wins.
After a time, a haunting (get it? see what we did there? haha, yeah) stability settled upon Nostramo. After almost every criminal was killed and every noble (who didn't get killed) was made compliant by fear, the people of Nostramo made Kurze the first monarch in their planet's history. Despite the fact that they were ruled by some sort of boogeyman, the whole of Nostramo entered a golden age: exports tripled, the crime rate was near zero, somebody even managed to turn on some goddamn lights. A short time later, E-Money arrived on Nostramo, his golden armor so shiny, hundreds of Nostramons were blinded by it (No seriously, somebody find a quote for this!). As a sidenote, his coming to Nostramo had been prophesied by Kurze's visions... as the beginning of the end for Nostramo. Oh, and Pretty Boy, Metal Claws, Bob the Base Builder, and...Lorgar showed up too, but they didn't really do anything.
Curze submitted to Big E's rule (despite having an inherent dislike for him), and Nostramo underwent the process of becoming a compliant Imperial world. About this time, Curze left the planet to take command of his legion. Control of the planet was then delegated to Imperial governors (goobers) and it became the recruitment world for what was to become the Night Lords legion. Well, this worked out poorly... for everyone involved. Only a short time after the Night Haunter left the planet, Nostramo returned to it's good-natured, scumbaggery, criminal ways. Murder and rape became endemic (again), and criminal gangs became the basic unit of society (again). As the Night Lords grew in numbers, replacing those originally taken from Terra and replenishing those lost, the brutal criminals began to trickle into their ranks, and over the course of years the Night Lords became primarily composed of crazed sadists and vicious criminals. Some speculate that the Emperor planned this, in order to better the whole "terror legion" aspect of the Night Lords, or he that just didn't care about Nostramo and Night Lords because they will never be Ultramarines. Also, practicing 40k's tradition of having a phenomenal lack of common sense, the Night Haunter apparently didn't build any law enforcement agencies, police forces, or anything like that. He really only relied on himself and the aura of terror he crafted in order to prevent the people of Nostramo from committing any crimes. He also really didn't give them any real reasons to live, or any way to improve their miserable existence, aside from the fear that anything was better than being slowly tortured and killed by him.
Briefly (before the big ol' Heresy), after helping Fulgrim and Rogal Dorn bring a world into compliance, Dorn came to the realization that Curze was into some fucked up shit. Rogal got really angry and challenged Curze to a brief philosophical debate about the nature of justice, which ended with Curze nearly killing Rogal. (That's not a joke, that actually happened.) Curze was arrested and placed under guard by Imperial Fist and Emperor's Children Terminators. Realizing his trust and secrets were betrayed by Fulgrim, and that he couldn't rely on Rogal to see that "you can only win in the grimdark galaxy by being even more grimdark", Curze escaped (after killing his brothers' Terminators with his bare fucking hands) and set the Night Lords fleet on a course for home, intending to return to Nostramo. On arrival, having seen how the world had reverted in his absence, an already mentally unstable Night Haunter decided that Nostramo was so fucked up that it couldn't possible be saved. Remember that crater he made when he arrived? He moved his fleet into orbital position over it, and had them exploit the weakness in the planets crust and reduce Nostramo to a cloud of dust and asteroids. And thus was the most fucking grimdark hive world in the galaxy turned to space junk.
Nostramo, with its people having a psychotic bent towards anarchy and cruelty, is regarded as one of the chief reasons the Night Haunter went rogue and later joined Chaos (that, and his mental instability due to his psychic foresight of the worst possible futures and maybe some mistakes made by The Emperor in Curze's creation). The traumatizing and depressive environment of Nostramo damaged Konrad Curze's sanity heavily, and from this environment Curze took the idea that fear is the only thing that truly keeps people in check. Also seeing Nostramo's descent into a criminal shithole again made him to think that without constant reinforcement, terror tactics eventually fail miserably.
On a side note, Nostramo used to be extremely rich in adamantium ore, and it's premadarkness was mostly caused by adamantium mining and processing factories. Asteroids formed from blown-up Nostramo often happen to be adamantium-rich too, and so they tend to attract Mechanicus and Rogue Trader asteroid mining crews (everyone else would likely think twice before venturing to the system Imperium classified as "forbidden"), only for them to get wiped out in the most horrifying ways possible when the Night Lords occasionally check on the remnants of their homeworld.