(Been AWOL for a while; hope to start participating a bit in the discussions again.  In the meantime, here's this:) 

     The legend of a shadow host or of an army which somehow continues to fight after death has ancient roots.  According to Paul the Deacon, Historia Langobardorum, II 4, when the plague ravaged Liguria during the time of Justinian (6th century A.D.) “during the hours of both night and day a trumpet of warriors kept sounding and was heard by many as though it were the murmur of an army.  There were no traces of people going up and down, no assassin could be descried, and yet the corpses of the dead overwhlemed the vision of the eyes.”  The deaths caused by the plague implied the presence of an invisible army which was striking people down -- one heard its trumpets, yet could not see it; but one saw all too clearly what it did to people.  A shadow host was decimating the living. 
     In the sixth century A.D. Damascius, (Vitae Isidori Reliquiae, fr. 63 Zintzen), writes that when Attila the Hun besieged Rome, so fiercely did both sides fight, that all save the generals and a few of their bodyguards died and that the phantasms of the dead warriors’ souls fought against each other for another three days and nights after the actual warriors’ deaths.  Here warriors continue to fight despite death. 
     Already in the first century A.D. Tacitus (Germania, 43) had written of a Germanic tribe, the Harii, who fought only by night and who dressed as an army of ghosts.  No-one besides Tacitus makes any mention of this tribe; and the tribe’s name is just the Germanic word for “host, army” (*charya-).  This is probably not a genuine tribe; but rather a sober rationalisation of stories about an army of ghosts which Germanic tribesmen recounted and to which so serious an historian as Tacitus attributed no credibility.  But bear in mind that alleged tribe’s name: Harii; from *charya-, “host, army.” 
     To turn to modern uses of such legendary material, Rudyard Kipling utilised the concept in his story “The Lost Legion,” published in Many Inventions -- which sees a Native unit of Irregular Horse which had suffered annihilation on the Northwest Frontier during the Mutiny of 1857 return to save the day a generation later.  In Mrs. Oliphant’s story, “A Beleaguered City,” a spectral army besieges a town in nineteenth-century France.  Tolkien too made use of this legendary material.  Tolkien, however, drew additional inspiration from several specific mediæval versions of this type of legend. 
     From the twelfth century come two lengthy accounts of a spectral host; in both cases the author has a specific name for this army. 
     Walter Map, in his De nugis curialium I 11, tells a story of an ancient British King, Herla, who one day met the King of the Dwarves.  At the Dwarf-king’s insistence, Herla exchanged a mutually binding oath with him: each would attend the other’s wedding.  The Dwarf-king appears at Herla’s wedding and gives Herla many gifts.  Some time later, Herla rides to the Dwarf-king’s wedding with a great company.  The Dwarf-king lives an an enormous, underground realm where the Dwarves hoard fantastic wealth.  After the celebrations, the Dwarf-king gives Herla additional presents; and, after Herla has mounted, places a bloodhound in his lap, telling Herla that none of his company should dismount before the bloodhound leapt from Herla’s lap.  Herla rides back to daylight, only to discover that two hundred years have passed since he entered the cave.  When some of his men dismount, they turn to dust.  Herla realises that anyone who dismounts before the bloodhound leaps from his lap will suffer the same fate.  As the bloodhound has never leapt from his lap, from that day forward Herla’s troop of ghosts rides through the land, a terror to any whom it meets.  Note, however, that this company is, strictly speaking, not an army; nor does it fight for anyone.  Note, also, that in a later passage (IV 13) Walter Map refers to these riders as “those of Herlethingus.”    The exact spelling used by Map remains in doubt, however; Map may have written “Herlechingus.”  On this more anon; but note already the initial sounds of the word. 
     Orderic Vitalis, in his Historia Ecclesiastica Normannorum, VIII 17 (III 367-377), recounts a monk’s horrifying story of an encounter with what he denotes an exercitus mortuorum -- an "Army of the Dead."  The young monk, Walchelin, moreover calls this wandering troop the “family of Herlichinus.”  Yet, once again, these ghosts do not fight: they wander throughout the lands as penitents, suffering terribly for their sins in life.  They still hope for release, and require the aid of the living in this: several of the ghosts ask Walchelin for help in undoing some of the wrongs which they committed: for example, a feudal lord, William of Glos, asks Walchelin to tell his family to give a mill back to a man from whom he fraudulently took it.  If his family do this, it will lighten his sufferings.  Amongst others Walchelin’s own brother, Robert, appears and asks Walchelin to help him with prayers and alms.  Walchelin at first demurs; but Robert reminds him of a debt which Walchelin owes him: Robert paid for Walchelin’s education.  Walchelin recognises the merit of his brother’s claim and consents to help him.  After this the troop ride away. 
     Other accounts of such a troop -- belonging to Hellequinus or Herlequinus or other alternate forms of the name -- tend to the brief.  The name “Herlethingus” et al. puzzles the authors, and none can explain it satisfactorily.  Helinand of Froidmont, De cognitione sui, XI, in Patrologia Latina, CCXII, in the early thirteenth century attempts to explain the name as a mishearing of “Karlequinus”for “Carolus Quintus” or “Charles V” of France.  Walter Map’s tale also contains an attempt to explain the name: it comes from an old (otherwise completely unknown) King called “Herla.”  Simply put, no-one knew anymore what this old, utterly incomprehensible name “Herlekinus” or “Harlekinus” meant anymore -- hence the many alternate spellings and the stabs at its meaning. 
     Yet Tolkien would certainly have recognised the probable origin of the name; if not he would have had it from the scholarly literature: see, e.g., H. Flasdieck, “Herlekin.  Germanischer Mythos in romanischer Wandlung,” Anglia, LXI.3/4, 1937, p. 225-340.  Flasdieck’s title reads in translation “A Germanic Myth in Romance-language Transformation.”  And there lies the key.  The oldest attestations of the myth all come from areas where a large Germanic element lived -- e.g. England or Normandy.  The name “Herlekinus” et al. should have a Germanic etymology; and Walter Map of all people was getting closer than he knew when he spoke of a “King Herla.”  The first element of the compound (“Herla” et al.) comes from the Germanic root *charya- (“host, army”), or rather: a derivation from that root, *charila(n)- (“leader of the host, commander”).  Here Tacitus’ mention of the Harii becomes important: the name of this non-existent tribe comes from the same root.  Flasdieck, p. 323, suggests that *charila(n)- developed a specialised meaning, namely “commander of the host of the dead”; and this fits with Tacitus’ Harii, who take their name from *charya-, “host” -- possibly in a specialised meaning of “host of the dead.” 
     The second part of the compound “Herlekinus” et al. seems to be the Old English word cyning, “King.”  So, the entire word would mean something like “King-Commander of the Dead.”  What is more, the second part of the compound (if correctly interpreted) shows that the word “herla-kin-” et al. is a purely English coinage: thus Flasdieck, p. 329.  That alone should have piqued Tolkien’s curiosity: the name attached to the Army of the Dead in all of the mediæval takes was a specifically English one. 
     Now we need not trace the Germanic roots of this legend any farther: not the older Germanic “Wild Hunt” led by Odin or predecessors of Odin attracted Tolkien’s interest, but rather the idea of an “Army of the Dead” -- an exercitus mortuorum as Orderic calls it -- in its mediæval variations.  After all, only the mediæval development of the “Wild Hunt” bore a peculiarly English name. 
     The mediæval tales of Map and Orderic do not stand alone in speaking of a spectral host.  And in some of the other references, the Dead really do fight as an army -- as the first element of their name, "her-" (from *charya-, "host, army") suggests.  For example, according to Gerald of Wales (Expugnatio Hibernica: available to me only in the mediæval translation into [Middle] English; the relevant passage is on Fol. 3b of both the Dublin and the Rawlinson Mss.), when Henry II invaded Ireland, a spectral army attacked the English troops after they had succesfully ended the siege of Osraighe.  Interestingly, the ghosts can only frighten the troops -- they can do no actual physical harm.  Gerald of Wales says little else about this ghostly troop and its motivation for fighting.  Yet, since it is fighting against invading troops, one must imagine that it is somehow fighting for its compatriots amongst the Living. 
     Tolkien would have been an unusual student of Germanic lore indeed had he not given thought to this group of legends about a shadow host; legends which after all received sustained attention from many folklorists and linguists (including, e.g., the great Jakob Grimm whose works Tolkien knew thoroughly).  With Tolkien, however, the scholar and the creative author worked hand in hand.  Why would such an army continue to wander the world?  What might cause it to fight for the Living?  Did it gain an advantage from so doing? 
     What follows provides a sort of sketch for how Tolkien may have put together his story of the exercitus mortuorum, one which -- like so many of Tolkien’s tales -- was designed as a prototype story, one from which later stories might have developed.  The legend of Númenor provides the best example of such proto-type stories in Tolkien: it accounts for all the later legends of Atlantis and other kingdoms overwhlemed by the sea.  At any rate, most of the elements in Tolkien’s story of the Dead were lying ready for use in the tales recounted by Map and Orderic: Tolkien, if anything however, wrote his tale to account for Map’s and Orderic’s. 
     After all, both Map’s and Orderic’s tales contain common elements:   In both the Dead wander against their will and suffer terribly under this constraint.  In both they desire release.  In Orderic’s tale the Living can assist the Dead -- who actually seem to have some claim on the Living.  Walchelin’s brother, Robert, eventually persuades the terrified Walchelin to aid him by reminding Walchelin of an obligation which Walchelin still owes to Robert.  We find this idea of an “obligation” in Walter Map’s tale as well.  Herla rides to the Dwarf-king’s wedding in repayment of a debt: he had sworn to return the favour which the Dwarf-king had done him at his own wedding.  Finally, the whole purpose behind the wandering of the Dead in Orderic’s story rests on their having acquired “debts” in this world for which they have not yet atoned. 
     So to sum up the argument thus far: We have the idea of an obligation not ending at death -- possibly lying, somehow, at the base of the Dead’s wanderings; and the desire of the Dead for release from these wanderings.  Tolkien may have decided this: the Living could (as in Orderic’s tale) help the Dead achieve release; but it was rather the Dead who still owed the Living one last service, an obligation which death had not annulled -- and the outstanding payment of this obligation held the Dead here on Earth.  Gerald of Wales’ story of the exercitus mortuorum which fought against English invaders at Osraighe here came into play.  And the rest explained itself: the Dead had failed to keep an obligation as warriors -- an oath to fight -- and remained on Earth until they did so.  Once they rendered this sworn service, and it had received due acknowledgement, then they finally could depart.  From this germ Tolkien’s story grew. 
     Yet Tolkien continued (as usual with him) to work with the elements he found present in his sources -- after all, he wanted to account for their presence in the later tales.  Thus, the Dead in the LotR operate solely by the fear which they inspire in the Living -- just as the ghosts had in Gerald of Wales’ story.  In Walter Map’s story Herla had ridden into a cave, an underground realm filled with riches.  Many tales knew that Dwarves dwelt in delvings deep in the mountains where they hoarded great wealth.  This commonplace runs straight through Germanic literature right from the Edda down into the tales collected by the Brothers Grimm.  So, if this commonplace had (by way of a mistake) wormed its way into the story of the Army of the Dead, then it might be the Dead and their King that dwelt in the underground realm...  After all, what better place for the King of an army of dead men to inhabit than such a realm?  But, what had led to the intrusion of Dwarves dwelling in this particular cave?  Was it the riches buried in the cave, which later storytellers would natutally have assumed to derive from the traditional hoarders of wealth in dark caverns, namely the Dwarves?  Was a Dwarf somehow connected with the story anyway, and this circumstance farther suggested a Dwarven realm beneath the mountain?  How this Dwarven realm got there, at any rate, had to find some explanation in the “original” story. 
     Here we begin with the reconstruction of this “original” story of the exercitus mortuorum who had once come to the aid of the Living, the prototype from which all the later stories derived.  As in the tale of Herla, an oath lay at the bottom of it all: the Dead had sworn to fight for their Lord and, failing to keep their word, had remained on Earth until such time as they might keep it.  They owe the Living one last service.  Specifically, they owe the service to their lawful Liege-Lord, Aragorn. 
     The idea that death does not break the tie which binds vassal to lord does actually recur in several mediæval tales, including one which stands close to the legends of the exercitus mortuorum.  In the Liber miraculorum S. Fidis (sic), printed in the Monumenta Germaniae Historica, vol. XV, part 2, Pp. 998-999, when Walther of Diebolsheim, meets the apparition of his dead master, Count Conrad, the count reminds him that his oath of vassalage requires him to render the service which Conrad imposes.  Conrad wishes his three living brothers to give his share of their inheritance to the monastery of St. Fidis; and Walther must convincingly relay Conrad’s wishes. 
     This idea of feudal obligations’ surviving death informs Tolkien’s tale on several levels.  The Dead still owe a feudal obligation; and will remain in Middle-earth till they perform it.  The Living can help the Dead achieve release; but it is emphatically the Dead who owe the Living a service.  In particular they owe the service to their living Liege-Lord.  Paradoxically, that service proves Aragorn’s lordship, i.e. that he is the rightful King who can command the Dead’s allegiance. 
     However, even this use of the exercitus mortuorum may owe something to the mediæval stories which also revolve around kings and feudal lords as well as proper rôle of such people in society.  In Orderic Vitalis’s account, feudal lords who have transgressed against society speak to Walchelin and plead for his help.  Much of the point of Orderic’s tale lies in its stark threats against feudal lords who oppress rather than aid their subjects; who do not act as a legitimate Lord should toward his subjects.  The tale lays out the obligations of a Lord to his people and threatens him with punishment if he fails to keep them. 
     Finally, Count Conrad, according to the Liber miraculorum S. Fidis, has one additional concern which he passes on to Walther of Diebolsheim.  Walther is to find Conrad’s third brother, Frederick, Duke of Swabia, and inform him that of the three brothers only his line would survive and was destined for higher things.  In fact, Frederick of Swabia’s son, became Emperor Conrad III of the Holy Roman Empire in 1138; and Conrad III’s nephew, Frederick III of Swabia, became Holy Roman Emperor in 1155 under the name Frederick I Barbarossa.  The story, amongst other things, also aims to establish the legitimacy of a particular line: to tell which lineage will endure and will inherit Empire. 
      Tolkien incorporates this aspect too into his tale, though, as usual, in a new and economic way: the Dead’s service to Aragorn proves his legitimacy and helps (re-)establish his line’s rule. 
      To turn one last time to Walter Map’s tale of King Herla.  In this story Herla, ensnared by his oath to the Dwarf-king, loses his kingship on Earth; and leads his company of ghosts in an unending ride through the lands.  The tale also concerns kingship, albeit superficially; and it has turned the originally rightful King, Herla, into the actual King of the Dead.  Note that Tolkien has expressly allowed for this confusion to develop in later times: when Aragorn leads the exercitus mortuorum from the Stone of Erech through Gondor, people confuse him with the King of the Dead, with the Lord of the underground realm.  Tolkien acknowledges the potential for the confusion -- how the story which Walter Map tells might have gotten things wrong, might have mistaken the rightful King (Herla) for the genuine King of the Dead.  And by leaving the hoarded gold in the story ("Keep your hoards," Aragorn tells the Dead), Tolkien also prepares the way for the intrusion of Dwarves and a Dwarf-king in this underground realm.  Moreover, Tolkien actually brings a Dwarf into the underground realm: Gimli, whom Tolkien allows to narrate the story of the journey beneath the mountains.  In other words, given the presence of Dwarf in the story (and even narrating it!), the later tradition might easily have misunderstood that Dwarf’s rôle and have “regularised” it by making that Dwarf the King of an underground realm full of hoards. 
      To conclude: Tolkien the scholar was carefully working through a series of tales and mentions of a spectral army and was keenly interested (as was Jakob Grimm) in reconstructing the original story.  Tolkien the creative author took over at the point beyond which scholarship itself could not lead; and wrote the “original” story -- a prototype which would account for all of the mediæval variations on the theme. 
     One final point: for once Tolkien really does seem far more interested in the mediæval tales rather than in their putative predecessors in Old Germanic legend. 

Bibliographical references:
Sinex, M.A.  “‘Oathbreakers, why have ye come?’: Tolkien’s ‘Passing of the Grey Company’ and the twelfth-century Exercitus mortuorum.” In: Chance, J. (Ed.).  Tolkien the Medievalist.  London: 2003.  pp. 155-168.  (While Sinex covers much the same ground as the foregoing, she does so in a rather different way: the differences have not received pedantic annotation.  Sinex’s use of citations at second hand, however, alarms: she takes much, uncontrolled, from the next item.)

Schmitt, J.-C.  Ghosts in the Middle Ages.  Chicaco: 1998.  Eng. trans of: Les revenants: les vivants et les morts dans la société médiévale.  Paris: 1994.  (Schmitt, by the way, frequently quotes at second hand from:  Meisen, K. Die Sagen vom wütenden Heer und wilden Jäger.  Münster: 1935.  So, Sinex occasionally is working at third hand.) 

In the foregoing stand a number of unmarked corrections and a number of direct references absent from Sinex and Schmitt.  And, yes: I’m a grouch.  And a mean, terrible person too.  Incorrect citations annoy me.