As stated in one of the later books "Masters of the Force", the Sith were the Lords on Yavin IV (its moon), where the Rebel Base is situated in Episode IV, and where the newly formed Jedi Academy is.
Exar Kun was the last and most powerful Lord that ruled the natives of Yavin IV, The Massassi that also built the well-known temples there.
Exar Kun constructed the temples so that his spirit would be conserved for eternety, but Luke's jedis have woken up his spirit and he could convert some to the dark side and kill them.
He was the last Lord of the Sith, and he has also taken possession of Darth Vader, maybe even Emperor Palpatine. At least this is stated in the book.