The Lesser Evils are powerful demon lords with less power than Diablo, Mephisto and Baal (called the Prime Evils).
Background
The Lesser Evils have always wanted to take the power of the three brothers. When the Nephalem were born in ages past, The Three focused on securing allegiance of this new power to turn the tide in the war between demons and angels. In this time, many demons were annoyed that the war with the High Heavens had been put to a halt and the Lesser Evils, lead by Azmodan and Belial took the chance of overthrowing the three in what is called the Dark Exile.
They succeeded, but a Azmodan and Belial could not agree to rule together, and civil war among the demons have raged every since.