In the Warhammer Fantasy and Warhammer 40,000 fictional universes, the Daemons are malevolent spirits born out of the destructive power called Chaos. The daemons found in both universes are very similar, although the precise natures of their creation and existence vary slightly.
Daemons in the Warhammer Fantasy world hail from the dread Hell-like place called the "Realm of Chaos", an alternate dimension, which has giant breaches into the material plane at both poles of the world. They are used in both Warhammer and Warhammer 40000. This realm is composed of pure magical energy; this energy flows into the world through collapsed gates of the Old Ones that, by collapsing, caused the breaches into the Realm of Chaos, and powers the spells cast by wizards and sorcerers. This magical energy is affected by the subconscious minds of men; their thoughts, fears and wishes become manifest as living creatures in the Realm of Chaos. According to the Daemons of Chaos Army Book, there can also be other, smaller "rifts" in the mortal world, caused by excesses of the emotions and magic that fuel Demonic life. The smaller the rift, the fewer and lower power the demons that pop out of it will be. Furies, winged monsters that are not linked with any god, come first, followed by small demons like Nurglings, followed by stronger and stronger demons. These demons will stay in the mortal realm until all of the magic that created them is used up. In the realms of the Empire this is usually less than a week, but demons can evidently manifest indefinitely in the warpstone-encrusted soil of the great northern Chaos wastes. This is one reason why the expansion of the Chaos Wastes that heralds an incursion of Chaos into the civilised world is very important to the success of the incursion.
Some of these entities have become immensely powerful over time, becoming the Chaos gods. Presumably these gods could manifest if there was a big enough rift, but this has not happened in recorded history. Less powerful entities became daemons; these are partly tied to the will of the Chaos Gods, but also remain tied to the thoughts of mankind. As most daemons serve one of the gods, when the armies of that god go to war, those daemons tied to it will often march alongside the army. In both of the Warhammer realms, there are four major gods of Chaos, each with its own personality and units.