A Paladin and a Warlock are almost entirely opposite callings. One straps on heavy plate armor and and metes out justice in the name of the divine. The other bends and breaks their enemies in the name of power for themselves. While there are good warlocks and evil paladins, generally their alignments tend to go the other way.
But in World of Warcraft, both will largely wind up doing the same stuff - slaying monsters, defending the innocent, and killing raid bosses for pants.
Choosing a class is the only totally irreversible thing you can do when you start a character. Changing your race, name, faction, or gender requires real money, and the rest of your cosmetic options are changeable in an in-game barber shop (except skin color for some reason.)
But the class you choose really defines the way the game plays - the earlier example of a Warlock versus a Paladin is a pretty good one - compare a Protection Paladin with a Demonology Warlock, for example.
Still, while the gameplay is very different depending on your class, the story often isn't. We once had a fair number of class quests when WoW first came out, but almost all of these were lost in the Cataclysm revamp (oddly including the Druid swift flight form quest, which I never got to do, even though it was largely in Outland, if I understand correctly.)
We have had some class content - though I'm not counting the quests at level 20 and 50 because everyone gets those and they're somewhat interchangeable. In Cataclysm we had the Legendary chain for the Fangs of the Father. It just so happened that it was a pair of daggers that would only benefit Rogues (though with the Feral Druid artifact weapon being a pair of daggers, I bet they wish they could get their hands on them.) This was a rather standard legendary weapon chain, but the quests between the raid grinding were specially tailored to both rogue skills and rogue flavor.
An even better example was the Green Fire quest chain during Mists of Pandaria. This not only introduced the Circle of the Black Harvest (which will be the Warlock class order) but also gave a highly enjoyable and very demanding challenge - beating Kanrethad Ebonlocke at the summit of the Black Temple required total mastery of many Warlock spells.
In Warlords of Draenor we didn't get any class content, but thankfully, Legion will be putting a very strong focus back on classes.
The first thing you'll do in Legion is get your first artifact weapon - a weapon specifically designed for your spec. The quest chain will introduce your class order as well, and bring you to a special order hall that will be accessible only by members of your class.
Each order hall comes with a set of armor you can earn and also some unique features (like a light-puzzle game for Shamans.) Additionally, there will be a campaign quest series for each class, giving you periodic tasks that are suited to your own class.
While much of the questing in the Broken Isles is sure to be the same for all players, having this class-restricted content sprinkled throughout will really make the experience feel more immersive. Not only that, but it should make leveling up your alts feel more exciting - as it won't just be the same quests all over again.
This focus is one of the big reasons I'm excited about this expansion, and while I know it'll be a major theme this time around and that artifact weapons at the very least are not going to go any farther with us after Legion, I hope that (assuming this stuff is successful,) they'll continue to make class content relevant in the expansions to come.