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.
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.
World of Warcraft: Shadowlands marks the eighth major expansion pack for the storied MMO. Judging from a half-hour playing it at BlizzCon this year, it seems like a natural evolution of modern WoW that will run alongside the very-different WoW Classic experience for the foreseeable future. That said, the biggest change wasn't part of my hands-on demo—but don't worry, that won't stop me from geeking out about it in extreme detail.
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 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.
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.
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.