Warcraft Chronicle Volume 1 solidified a lot of the backstory of the Warcraft setting. Perhaps the most profound way this was done was setting up a kind of hierarchy of different primordial forces and planes. Moving from the outside in, we started with the six forces of Light, Chaos, Death, Shadow/Void, Order, and Life, each with affiliated representatives and its own branch of magic. We then had the Elements, including the usual four as well as the opposed forces of Spirit (a kind of binding element that allows the four familiar ones to operate in harmony, which is called Chi by the Pandaren) and Decay (the tool of Dark Shamans, which is all about force and discord.)
Right before we got to the familiar, physical world, we had two realms: the similarly familiar Emerald Dream and the new concept of The Shadowlands.
WoW, along with pretty much every fantasy RPG, borrows a ton from the granddaddy of pen-and-paper RPGs, Dungeons and Dragons. Within D&D, there is a similar concept of the Feywild - a realm of verdant fae magic, and the Shadowfell, a dark and twisted version of the real world where everything is in a state of decay and despair.
Clearly, the Emerald Dream and the Shadowlands fit into this mold, though with some Warcraft-specific touches.
In fact, the Shadowlands have been visitable in-game since at least Wrath of the Lich King, and depending on your interpretation, the realm has probably been in-game since it began.
My understanding, which is supported by lore in Chronicle and is something I'll probably touch on later in this post, is that any time you die in-game and find yourself roaming a darkened version of the world as you run back to where your body was, this is actually the Shadowlands.
Some quests involving Death Knights and the Scourge also take you into the Shadowlands, and in this case it's more explicit. Death Knights get their Acherus Deathcharger by stealing a horse from the Scarlet Crusade and allowing Salanar the Horseman to transform the horse into a deathcharger by taking it into the Shadowlands. Likewise, Horde players are sent by Koltira Deathweaver into the Shadowlands during quests in Dragonblight.
Let's talk about the val'kyr.
The val'kyr were originally created by the Titan Keeper Odyn with the following purpose: After Keepr Tyr enlisted the aid of the five proto-drakes who would become the Dragon Aspects to fight off Galakrond, he went to his fellow Keepers and suggested that they be empowered to serve as protectors of the world. Everyone agreed except for Odyn. Why? Because proto-drakes were not Titan creations. They were essentially highly complex elementals that had gradually evolved naturally into organic life. Odyn believed that only the Titanforged races should be elevated with any sort of Titanic power. Despite the fact that Odyn was, at the time, the "Prime Designate" among the Keepers, he was overruled and thus the dragon aspects were created.
Odyn, whose Halls of Valor were originally a part of the large Ulduar complex in Northrend, had his halls torn out of the foundations and elevated into whatever realm within which they now reside. He did this with the help of his favorite vrykul (remember, vrykul are a Titanforged race,) a sorceress named Helya.
Helya was incredibly powerful. Despite being a "mortal" (though this was before the Curse of Flesh, so she was probably only quasi-mortal,) she worked alongside the Keepers. She assisted Ra-Den in creating the Elemental Planes, to the extent that they basically get co-author credit for that project.
So it was Helya who actually helped Odyn relocate the Halls of Valor. In fact, she may have even created a demiplane in which to put it. The Halls of Valor don't really seem to be within the physical world of Azeroth after all. And Helya had experience with crafting entire planes.
Odyn decided that the protectors of Azeroth should be Titanforged, and so he came up with the following strategy: the vrykul (he seemed to have a particular fondness for this race, though it also makes sense as the vrykul were specifically created as the Titans' foot soldiers) who fought valiantly and died in glorious battle would be elevated and given new stormforged bodies to serve as his Valarjar - his champions.
But recovering the souls of these warriors meant traveling to the Shadowlands - the realm where the souls of the dead go.
Odyn needed people that could go to the Shadowlands and retrieve these souls. And so he took Helya, a person who was like a daughter to him, and forced her against her will to become the first Val'kyr.
This shocking action turned Helya's affection for the Keeper into resentful hatred. Eventually, she cursed Odyn, trapping him and his Valarjar within the Halls of Valor and created her own demiplane - Helheim. In revenge against Odyn, she began taking the souls of the fallen vrykul - whether they were valorous or not - and transformed them not into stormforged Valarjar, but instead into the Kvaldir.
Obviously, we deal with this quite a bit within Stormheim, briefly getting trapped in Helheim and then returning to make an attack on Helya by boarding the Naglfar. Helya retreats from this battle, but presumably in the Trial of Valor raid we will face her where she has nowhere left to run.
There are a few interesting issues that get raised here:
First off, if we assume the Helheim is actually within the Shadowlands, she is actually in a strange way returning things to the way they're meant to be. Odyn was the one who interrupted the natural process of the souls of the dead going where the dead are supposed to be. That being said, the Shadowlands don't really seem like a great place, so I can't say that it's such a bad thing that he started rearranging the afterlife in this way.
But I think we also really have to think about how this ties into the events on Northrend. Wrath of the Lich King introduced both the Val'kyr and the Kvaldir. At the time I think most of us just assumed the Val'kyr were a creation of the Lich King's, and the Kvaldir, while cool, were really left unexplained.
But consider this: the Lich King was copying Helya and Odyn, twisting the vrykul warrior culture that had been cultivated by Odyn in the first place, but putting himself in Odyn's position. The trials of combat that the Lich King encouraged among the vrykul were to qualify them to serve as the Ymirjar - which has a similar construction to the Valarjar.
Let's also consider the following: the Lich King had basically become the master of the Shadowlands. There's a speech that the Lich King gives during an Alliance quest in Howling Fjord. It's actually tough to get this speech because it involves visiting the spirit world (presumably the Shadowlands) with the help of a Draenei Shaman, but there are Val'kyr everywhere that will boot you back into the physical world if they touch you. You need to approach the Lich King within the spirit world and he will capture you and then kill you effortlessly after giving you a speech about how he has managed to take total control of this realm of reality.
The Kvaldir are not technically classified as undead, but they sure seem a lot like it. While questing through Stormheim and getting to the Helheim quests on my Death Knight, I had this sense of "wow, I really feel at home here."
Unfortunately, I don't really have a grand unifying theory here - it just seems that the Lich King absolutely knew about Helya and Odyn and their whole drama, and was taking it as inspiration to help bolster the Scourge. Was he usurping Helya's position? And is the new Lich King also doing so? Consider that Helya seems very focused on keeping her prisoners trapped in Helheim and then the fact that Bolvar refers to himself as the Jailor of the Damned.
Could it be that the reason we saw Kvaldir attacking Northrend's coasts was that they were trying to take on the Lich King for stealing Helya's thunder?
One of the big reasons I want to see more class content in Legion is that I feel like Death Knights have to do something special with Helheim. It just seems like the perfect place for them to operate, and given that we're about to fight Helya presumably for the last time, I'd really like to see if there's more to this connection than just having similar MOs.