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.
In the opening cinematic, Sylvanas shatters the Helm of Dominion, breaching the veil between the material realm and the Shadowlands, an ancient dimension where the dead coalesces for judgment. Sylvanas' actions have upset the natural balance between life and death, and it's on players to enter the Shadowlands itself and repair the cycle before it is too late.
The Shadowlands has long been referenced in World of Warcraft lore, but their origins and true nature remain a mystery. One thing is for certain; the Shadowlands are inextricably tied to death and decay. It stands opposed to the verdant spiritual realm of the Emerald Dream, which represents a vision of reality untarnished by corruption and mortal intervention.
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.
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.