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 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.
Frankly, the aspect of Shadowlands I'm most excited about is an overhaul of the leveling system—something that wasn't a part of this demo in a major way. This kind of breaks the rules of a hands-on article, but I want to take an opportunity to talk about it and why I think it's interesting, regardless, since it came up in my interview with WoW developers.
Sometimes, the spirits roam the Shadowlands without resting. It can be because their resting place wasn't complete, because of a battle in their resting place or because of the corruption of their resting place. To bring eternal peace to the souls, it is needed to destroy the source of corruption or by making a ceremony with items such as [Tuskarr Ritual Object]. A spirit in the Shadowlands can, with enough power over other souls, tear a hole into the living world once they are strong enough. This is how Jin'do returned to Azeroth.
Beings of death are ancient and powerful, and it is dangerous to meddle in their realm. When Odyn peered into the Shadowlands, he saw some of its inhabitants: souls in torment, the husks of the dead, ghostly wraiths with no face, and others with no form, all made of death itself. This was enough to frighten even him. Several races in the Shadowlands, such as the kyrian of Bastion, are souls of deceased mortals who have been transformed to serve a new purpose. If one of these former mortals is killed in the Shadowlands, they die permanently. Other creatures—such as dredgers and stewards—are endemic to the Shadowlands and are naturally born from the magic of death to serve the different realms and help facilitate the process of the afterlife. If one such creature of death is killed, their energy is recycled back into the Shadowlands, and eventually another member of the same race will manifest to take the place of the one that was killed.
This skips all the content before the previous expansion to give players the most modern experience from a quest design POV (and to make sure the players are connected with the current storylines). It also ensures new players have a shorter leveling ramp—Blizzard says it will be as much as 70% shorter than it is currently to get from level one to the cap.
Since this was an early questing experience and not an endgame one, I didn't get much sense of how Covenants—Shadowlands' new Order Hall, Garrison, or War Campaign-like systems—work. Neither did I have much time to dive into the story, though I saw enough to know that, if you like the flavor of the recent WoW expansions, you'll probably like this one, too. (I, for one, am glad we're going to get a brief respite from the Alliance vs. Horde war storyline.)
The Shadowlands were originally intended to be a fully playable zone in World of Warcraft, designed for high-level play. The idea was that as deceased characters made their way back to their corpses, they'd see high-level players battling creeps in the area, which would inspire lower level players to increase their character level so they could experience the zone for themselves.
Furthermore, upon the Lich King's death he even spoke of "Seeing only darkness before him" while Sylvanas Windrunner said the same in Silverpine Forest after being risen from the dead by the Val'kyr. This may hint that because undead, death knights, and necromancers are connected to the Realm of Shadows when they die (again) they actually become apart of the Realm of Shadows and are forced to wanders in its dark mists for the rest of eternity. If this is so, then it can also be implied that when a death knight is given his/her own personal runeblade, the runeblade is actually used to bind the individual to the Realm of Shadows in mind and body, making it impossible to ever be rid of the death knight curse. In Howling Fjord, players are even able to witness the Lich King himself standing within the Realm of Shadows with two Val'kyr. The idea that necromantic magic and death knight runes drawing power from the Realm of Shadows itself is not yet proven, but it is heavily supported by in-game quests and lore.
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.