During the Burning Legion's third invasion, the Knights of the Ebon Blade traveled to the Shadowlands to acquire the Aggregates of Anguish, five tormented essences of powerful souls - Admiral Proudmoore, Soulbinder Nyami, Grand Empress Shek'zeer, Grand Apothecary Putress and Archmage Arugal. Salanaar required these to conjure the Steeds of the Damned for the order's new Horsemen.
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.
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 Shadowlands can be seen as a shadowy version of the physical world, and can be routinely visited as a spirit when player characters die. Governed by the Covenants, the four ruling realms of the Shadowlands are Bastion, Ardenweald, Revendreth and Maldraxxus (although countless others exist), which serve as the main setting of World of Warcraft's eighth expansion.
Explore the Realm of the Dead: for the first time ever in World of Warcraft, players will cross into the Shadowlands and experience the wonders and horrors of the afterlife across five new zones—the gleaming fields of Bastion, the scarred battlefields of Maldraxxus, the eternal twilight of Ardenweald, the opulent keeps of Revendreth, and the horrific Maw.