The numbering of the wars in Warcraft's history is pretty silly, except if one takes a step back out-of-universe to think of them as merely corresponding to the three RTS games. The First and Second Wars were, after all, not the first and second wars to be fought on Azeroth. They were the first to be fought between Humans and Orcs (the Alliance would not really come into existence until the second,) but even if you use that logic, the Third War doesn't make sense either, because the Third War was against the Scourge and the Burning Legion (actually, it was pretty much a total mess, with Humans vs. Scourge and Night Elves vs. Horde and then Scourge betraying the Burning Legion and then Alliance, Horde, and Night Elves vs. Burning Legion.)
Would we call the current conflict the Fourth War? Perhaps, but after the War of the North (Wrath of the Lich King) and the Nexus War (same) and all the other unnamed conflicts that have happened between, the number system is kind of screwed.
Anyway, the current Alliance/Horde war began at the Wrath Gate or the Battle of Undercity (depending on your perspective,) but did not really turn into a full-fledged war until the appointment of Garrosh Hellscream as Warchief. The Alliance did some serious saber-rattling at Undercity, but the thing did not boil over until the Shattering.
The state that existed before this was fairly complex. The two sides (the Alliance incorporating the Night Elves into their faction following the Battle of Mount Hyjal and the Horde incorporating the Forsaken after the Plaguelands Civil War) had shared a victory, and theoretically an era of peace might have been the logical result. And in a way, there was an era of peace. Battlegrounds like Warsong Gulch, Alterac Valley, or Arathi Basin represented pockets of armed conflict, and the logging operations in Ashenvale or the aggression against the humans of Hillsbrad were areas where both sides clashed, but for the most part, the two factions were cooperating.
This extended even in the journey to Outland. Not only did Draenei and Blood Elf forces work together to protect Shattrath and assault Kael'thas and Illidan (and later team up more cohesively to retake the Sunwell,) but Honor Hold watched Thrallmar's back against the arrayed Demonic Forge Camps. There were operations to subvert the other side, such as attempts to neutralize the guardian creatures around Sylvanar and Thundermar Ruins (might have the name wrong - Horde town in Blade's Edge) but this never erupted into open conflict.
There's even a quest in Borean Tundra where Horde players return deserters to Alliance handlers, suggesting a (somewhat begrudging) air of cooperation - a cooperation that was punished dearly at the hands of Putress at the Wrath Gate.
Looking at the real world, the biggest war ever fought was World War Two, and much like the Third War, there were two very powerful factions that were left after the threat of Demons/Nazis was eliminated. Thankfully, the United States and the Soviet Union never did get into an open conflict, but that's certainly not to say that there was not a deadly, dangerous competition going on between the two sides.
Returning to WoW: the War (whatever we're calling it) is coming to a climax in Mists. With things like the annihilation of Theramore and the eventual invasion of Orgrimmar and Garrosh's fall from power (even though Horde players will most likely experience this primarily as a revolutionary uprising, the Alliance's part in the event must also be acknowledged,) it would not really make sense to say that the current war will continue.
Now, as a caveat to what's coming up: There's an argument a lot of people make for having the Alliance and Horde constantly at odds, which is that it's World of WARcraft. I disagree with this, because we were certainly at war against the Burning Legion and the Scourge - nothing about "Warcraft" requires that it be a war between Alliance and Horde.
Still, as much as I imagine if I were living in Azeroth that I would want to see both sides getting along, like the Klingons and the Federation in the Next-Gen era (Warcraft Orcs are TOTALLY Next Gen-era Klingons,) I do recognize that maintaining the conflict they have in one form or another is important to the game (especially on PvP servers.)
I would love to see a World of Spycraft, as it were. One of the reasons you often see long-running works team up the old adversaries is that you can get a lot of fun out of the trust issues and simmering hatreds - where things can be more subtle and mysterious rather than just big battles.
Imagine, for example, being in Dalaran during the events that lead up to Jaina's purge (actually, I haven't done Dominance Offensive yet, so I don't know if Horde players do so.) Alliance players could try to investigate the Sunreavers, using the friendliness of the setting to cozy up to some Horde folks and see if you could pick up a lead and find whoever was responsible for helping Garrosh's war efforts. Horde players, likewise, could do their own investigation to try to discover whether the Sunreavers really were behind it, while at the same time trying to deflect the Alliance spies looking into it.
In the future, you could imagine a place like Gilneas City becoming a hotbed of intrigue - if a treaty is signed, but the Horde still want to maintain a presence in the city, you could have tons of potential - peacekeepers trying to maintain order, Forsaken fringe elements (who might have tacit approval from the Dark Lady) attempting a big plague-attack, Worgen renegades murdering Horde ambassadors. You could make Gilneas City look like Cold-War era Berlin! It might suck for anyone who wants to live there, but as a game it could be a ton of fun.
Admittedly, mechanically there's a lot of trouble with sustaining that sort of stuff, and so a Cold War would also have to include a lot of actual open conflicts. But that's what we've got the Burning Legion and the Old Gods (and their respective subsidiaries) for! Even if they aren't stabbing each other in the back before a battle against the real threat (cough, Horde in Icecrown,) having both sides attempt to manipulate the war to put themselves in a better position after beating the Demons/Old Gods/Undead/Emerald Nighmare would be some compelling story.
In terms of Horde/Alliance relations, I would love to see a messy and subtle War-that-is-not-a-War going on, once the dust settles in Grommash Hold.
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