From the comic book Watchmen (1986). In the background of the comic, sorry, "graphic novel," are mentions of this band, who represent an invented punkish-gothish youth subculture/gang called "Knot Tops." They're pretty popular, playing New York City's Madison Square Garden at the climax.
The band's name refers to Death; Death rides a pale horse: It's in the Bible, Book of Revelation, chapter 6, verse 8: "And I looked, and behold a pale horse: and his name that sat on him was Death, and Hell followed with him."
See also Krystalnacht.