Holy has no resist associated with it...

What about unholy? Will it be the same way or what?

Are you referring to the Death Knight rune system?

They're called Blood, Unholy, and Frost, but those aren't the names of the actual damage types the spells and abilities that will consume those runes will output.

While there's still a lot of abilities in the concept stages, there's no indication at this time that "Blood" or "Unholy" will become new spell types, they're just the names of the runes that are consumed when using a spell. Blood will probably be used by more physical attacks, and Unholy will probably be more shadow based.