The final destination of the spirits of the deceased remains a mystery to the priests and philosophers of Azeroth. However, as spells such as [Resurrection] can reunite a dead body with its spirit, and a majority of living creatures from the tauren to the troll shadow hunters claim they can communicate with and call upon the power of the spirits, a widely held belief is that the spirits of the dead remain on the Material Plane — in an immaterial state that can only be altered or contacted through the use of magic.
The experience curve is adjusted to make it faster than ever to prepare for the newest challenges, and each level along the way will provide more meaningful increases in progress and power. All expansion zones are getting more flexible, too; they'll be able* to scale to you and your friends while you level to 50, so it's easy to try a zone you've never played.
World of Warcraft's next big expansion is Shadowlands, set in the realms of the afterlife. The Horde and the Alliance will set aside their faction war to chase a new evil, known only as The Jailor, who has usurped the natural order of life and death. The game is currently in closed Alpha testing, and seems truly awesome thus far (a preview on that is coming soon).
The Realm of Shadows may be the same World of Shadows as the one that becomes visible when a [Elixir of Shadows] is consumed. It may also have something to do with shadow magic and shades. Death knights, necromancers, and undead as a whole share a strong connection with the Realm of Shadows from many hints that can be seen in-game. In the death knight starting zone, death knights are given the task to enter the Realm of Shadows in order to gain their Deathcharger. Later on, death knights are eventually able to learn the ability [Raise Ally] which pulls their ally's spirit back from the Realm of the Dead and forces it back into their body. Upon doing so, a buff is applied to the player stating that: "A touch of the spirit realm still lingers..." This shows that death knights and necromancers both have a connection to the Realm of the Shadows/Dead to perform necromancy which furthers the idea that they actually are drawing their magical power from it.