Covenants grant two additional gameplay abilities, one being class-specific. It alters your playstyle. Covenants grant unique armor styles and special capes that look a little more like accessories. Titan-like Kyrian capes look more like angel wings, for example. Each Covenant has a unique campaign similar to those found in Battle for Azeroth and Legion.
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 spell called "spiritual projection" or "astral projection" brings the caster to the Twisting Nether instead of the Shadowlands; and the Twisting Nether is also referred as "realm of ghosts". However, both planes don't appear to be related, as Outland is floating on the Twisting Nether, but the Shadowlands can be reached in Outland in The Burning Crusade.
This section contains information that needs to be cleaned up. Reason: The death knight realm has already been confirmed to be the Shadowlands. Sylvanas committing suicide from ICC in EoN has already been connected to the Shadowlands. Reword still unclear things, move confirmed things to the main section of the page or remove them entirely if they are already incorporated there.
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.
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.