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.
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.
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.
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.)
Alpha Beta PTR Vanilla 1.1.0 1.2.0 1.3.0 1.4.0 1.5.0 1.6.0 1.6.1 1.7.0 1.8.0 1.8.4 1.9.0 1.10.0 1.11.0 1.12.0 Burning Crusade 2.0.1 2.0.3 2.0.4 2.1.0 2.1.2 2.2.0 2.3.0 2.4.0 2.4.3 Wrath of the Lich King 3.0.2 3.0.3 3.0.8 3.1.0 3.2.0 3.2.2 3.3.0 3.3.3 Cataclysm 4.0.1 4.0.3a 4.0.6 4.1.0 4.2.0 4.2.2 4.3.0 4.3.2 Mists of Pandaria 5.0.4 5.0.5 5.1.0 5.2.0 5.3.0 5.4.0 5.4.7 Warlords of Draenor 6.0.2 6.0.3 6.1.0 6.2.0 Legion 7.0.3 7.1.0 7.1.5 7.2.0 7.2.5 7.3.0 7.3.5 Battle for Azeroth 8.0.1 8.1.0 8.1.5 8.2.0 8.3.0 Shadowlands 9.0.1