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.
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 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.