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).
Shadowy Tormentors inhabit this dimension, and emerge from it to torment death knights such as Koltira Deathweaver. The Lich King originally kept them at bay, but after the Knights of the Ebon Blade left his service, the tormentors are now loose upon them. He even appears in the World of the Dead, as he calls it, riding a frost wyrm during  The Power to Destroy.
The origins of the Shadowlands remain uncertain, but they have existed ever since mortal life first arose in the physical universe. They span all worlds, including Azeroth, on which Icecrown serves as an anchor to the Shadowlands. There are those who believe mortal souls are drawn into this dark place when they die, remaining there forever. Others hope their souls will go on to a brighter place rather than languish for eternity within the cold confines of the Shadowlands.