The Lord of Terror is divided into two parts... the will of the Lord of Terror, and the Ultimate Destruction Program. It is a virus that runs on Yggdrasil, and seeks to create a world for demons.
The heir to the Lord of Terror was Urd, because of her mixed ancestry. Basically, the Great Lord's will influenced Urd and eventually sealed her will away. It then utilized the urn Mao Za Haxon, which contained the Ultimate Destruction Program's bootup.
Eventually, the Ultimate Destruction Program was revealed to be Fenrir. When Urd attempted to give Fenrir a portion of her power, Fenrir sucked all of it away and became the completed Lord of Terror. However, Belldandy used the Flute of Midgard in order to summon Midgard and defeat Fenrir, but Fenrir managed to replicate itself by infecting Midgard.
Eventually, the Lord of Terror transferred himself over to Keiichi, which caused one of the most heartwrenching situations for Belldandy. Eventually, the Great Lord failed in transferring himself over to Belldandy, and was destroyed by Skuld with a magnet.