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.
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.
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 Shadowlands are accessible upon death, where the player-character can roam, and can only be seen by other spirits. The Spirit of Tony Two-Tusk describes the Shadowlands as all grey and dark, swirling clouds. While Uuna was in the Shadowlands, she described it as dark and she was unable to see anything, though she could hear people interacting with her in the physical world. From within the Shadowlands, she could see the light of the naaru A'dal who was in the physical world, but it was so bright that it scared her. The moonlight at Lake Falathim allowed her to see a friend in the physical world.