Most free death knights (technically all player DKs, but many RPers don’t stick to the scripted character plot) gained their freedom at the Light’s Hope Chapel event. This was a special circumstance due to both the Lich King’s blatant betrayal of his forces but more importantly, the incredibly holy ground upon which it took place. The two accounts we’ve seen firsthand- Darion and Thassarian- had spirits of previously fallen heroes appear before them and help break them out of their trance. I don’t know if every DK got their own personal ghost counselor or if the overwhelming power of the Light would have been enough for them or what, but Light’s Hope was a very special circumstance.
The only other time I could think of that a DK could possibly have escaped from the Scourge is when Arthas died. Like I said in another post, Sylvanas was able to escape from Ner’zhul’s grasp during a time of weakness on his part. I would think that Arthas actually dying and Frostmourne shattering would be a massive power flux that would allow plenty of stronger minds to stumble free during those few leaderless minutes. But this isn’t something we’ve seen in canon, so that’s just out-loud speculation. Since we don’t really know what’s going on with Bolvar’s Scourge, it’s also possible his grasp on current unwilling servants isn’t as powerful as Arthas’ was, and that anybody risen in the current Scourge would only require some heavy Light inundation to be freed.
As far as player-risen undead go, I think that all depends on how powerful the necromancer’s magic is. ¯(°_o)/¯
Also cutting off the head works!