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.
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 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.
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.