While we get a few specific examples when it comes to the afterlife in the Warcraft universe, generally it's kept vague. This is actually a rather common fantasy writing convention. If you make it very clear that there is an afterlife, the stakes of a character's death become a bit lower. In most genres, this wouldn't be an issue because the question of life after death is an inherently unanswerable one. Just as in real life, some might have faith in a benevolent god or simply a benevolent universe that will provide people with post-mortem continuity, but the mystery and ambiguity around it allows the death of a character to have impact. Obviously on a video game blog I don't really want to get into a deep philosophical discussion on the real-world existence of an afterlife or the lack thereof, but this is where fantasy gets a little tricky.
In fantasy, generally speaking, we have a rather complete sense of the cosmos - who the god or gods are and what their attitudes are toward us mere mortals. But because we want to relate to the struggles of those in any story, including those in a fantasy story, it's best if we allow death to remain the scary and mysterious thing it is in the real world.
In Warcraft, we know that some, and possibly all people who die go to a realm called the Shadowlands. This place is a bit like the Emerald Dream, only on the opposite end of the life/death spectrum. It's clearly related to the Dungeons and Dragons idea of the Shadowfell (which is itself the opposite of the Feywild, D&D's Emerald Dream antecedent.) But in Warcraft, the Shadowlands are very clearly associated with death.
In fact, it's heavily implied that the ghost realm we find ourselves in when we die in-game is actually the Shadowlands, and that our spirits are there briefly as we seek to reclaim our bodies. Why is it that we're allowed to do this - beyond the necessities of game mechanics?
Well, it's because of Odyn. Odyn was the Prime Designate - the leader of the Keepers. The Keepers were the leaders of the Titanforged on Azeroth, with the next rank down being the Watchers. Odyn was effectively the ruler of all of Azeroth as designated by the Titans after the Ordering and the war against the Black Empire.
While he was in a position of great power, he was not allowed to rule unilaterally. The other Keepers could overrule him. When Tyr related to the other Keepers the power and bravery of the dragons against Galakrond, he moved that they empower the dragons (or at that point, proto-dragons) to serve as guardians of the world.
Because the proto-dragons were not Titanforged - they had evolved naturally from elementals native to the planet - Odyn rejected this idea. He did not think that they should grant Titanic power to anyone except the Titans' own creations. He was overruled, and in a huff, he had Helya - a powerful Vrykul sorceress who was something of an adopted daughter to him - remove his portion of Ulduar and set it in a demiplane apart from the rest of the Keepers. (This portion of Ulduar is the Halls of Valor.)
Odyn decided that he would create his own order of guardians to protect Azeroth, done in the way that he felt was wisest. He decided that the greatest heroes of Azeroth were those who had died in glorious battle. The Vrykul (this was pre-curse of flesh) were created specifically to serve as the Titans' armies, and so naturally he favored them to serve as his new Valarjar. But there was an obvious problem - if proving yourself to be one of the world's greatest heroes required you to die in battle, how then was Odyn to recruit you?
Odyn solved this by creating the first Val'kyr. The souls of the dead were in the Shadowlands, and he needed to have someone who could go back and forth between the worlds of the living and the dead to retrieve the souls of the fallen, after which he would place these souls into new metal bodies.
The person he chose to become the first Val'kyr was Helya. She did not want to become this, but against her will, the sorceress was horrifically altered and put in a state of half-life and half-death so that she could straddle the living world and the Shadowlands.
Eventually, Helya rebelled, using her own immense power (she had helped Ra-Den create the Elemental Planes, as an example) to lock the Halls of Valor away, trapping Odyn with his Valarjar. To spite her "father," she began to collect the souls of the dead herself, but rather than sending them up to the Halls of Valor, she took them to Helheim and transformed them into her own Helarjar - creating a new quasi-race called the Kvaldir.
Even if Odyn had not cut off ties with the other Keepers, they were in no position to help him, as by that point Loken had already been corrupted by Yogg-Saron and had imprisoned his colleagues, save for Thorim, who sank into a deep grief over the loss of his wife, Sif.
So Helya now had control, taking the souls of the dead and denying them to Odyn.
As a side note: while some Val'kyr went with Helya (I think - we haven't seen any Helya-loyal Val'kyr in game), some remained loyal to Odyn. Still others took no side, and rather than focusing specifically on the vrykul, they decided instead to raise heroes of all kinds to help protect Azeroth. You might know them better as Spirit Healers. So when you die, the Spirit Healer rescues your spirit from being stuck in the Shadowlands, giving you either the opportunity to reclaim your body or going out and getting your body for you at the cost of suffering resurrection sickness.
Flash forward thousands upon thousands of years later. The Horde had been defeated on Azeroth after Gul'dan had abandoned them, and with an angry Burning Legion threatening revenge against the Horde's failures, Ner'zhul did whatever he could to try to escape their wrath.
Using the Scepter of Sargeras, Ner'zhul - one of the Horde's last free Chieftains - tore open several portals all over Draenor, looking for a world on which he could be safe from the Legion. Little did he know that by tearing portals through the Twisting Nether, he not only doomed his planet to be torn apart, but he was also effectively trying to escape right through Kil'jaeden's front lawn.
The Deceiver caught Ner'zhul and tore his body apart. Kil'jaeden saved the soul, however, and attached it to a suit of black metal armor that was then encased in a crystal of magical ice. Kil'jaden charged Ner'zhul with using his necromantic powers (something we now know he possessed before his affiliation with the Burning Legion, thanks to our glimpse at his Draenor B doppelgänger) to create a new vanguard for the Legion - not of barbaric orcs, but of ravenous undead.
As Ner'zhul transformed into the Lich King, and later was absorbed by Arthas Menethil, who came to embody the Lich King far further (actually literally embodied, as he granted the Lich King a body,) the Scourge seemed to take control of the Shadowlands.
In fact, the Scourge seemed to take much of what Odyn and Helya had once fought over. The Lich King raised the Winterskorn vrykul in Northrend from their long slumber - a punishment that they had earned for their warmongering and brutality. He then set about re-enacting the rituals created by Odyn - having the vrykul battle against one another and elevating the victors to serve as his elite soldiers. Thus, the Valarjar and Helarjar were replaced with his Ymirjar, named presumably for their king, Ymiron.
But the Scourge is resourceful, so rather than allowing the fallen to simply be left behind, he turned them into the Var'ghul, to serve as rank-and-file troops beneath the Ymirjar.
So we see that each of the "something-jar" orders gets usurped by another. The land of the dead is a resource for those who want great champions, but there's competition. In my headcanon, the Kvaldir we see assaulting the shores of Northrend are actually trying to attack the Lich King for stealing Helya's position.
But this raises an interesting question: to whom do the dead belong in the first place?
The Scourge, Helya, and Odyn all disrupted the existing dynamic of life and death. So who established that in the first place?
Well, with all of this talk about death, it seems like we're missing a pretty important figure: Yogg-Saron, the God of Death.
Yogg-Saron was referred to as the Old God of Death throughout much of Wrath, but it wasn't really all that clear why he was associated with death more than, say, C'thun (who at the time was the only Old God that had been named.)
We're starting to get a little more in support of that title, though. Yogg-Saron was behind some very important things in Azeroth, and perhaps the biggest impact was that he was the one who infected the Titanforged with the Curse of Flesh. As Yogg-Saron was manipulating Loken into turning against his fellow keepers, one of the things he did was subtly alter the commands Loken put into the Forge of Wills, thus creating Titanforged races that carried a flaw in the "programming." This flaw would gradually cause their metallic or stone bodies to soften into flesh, and not only that - it would spread to other Titanforged who had been created earlier.
The Titanforged were immortal by some definitions - they could die in battle, to be sure, but they did not age - they were made of immutable metal and stone. By introducing the Curse of Flesh, Yogg-Saron introduced the idea of inevitable mortality among the Titanforged.
We know that Yogg-Saron was the one who infected the Emerald Dream with the Nightmare (even if N'zoth seems to be more affiliated with it these days.) Turning a place of tranquility and beauty into one of twisted horror is obviously monstrous. But wouldn't it then make sense that Yogg-Saron may have been associated with the Shadowlands as well?
Old Gods are beings created of pure darkness - they aren't quite as much embodiments of the Void as their creators, the Void Lords, but they're about as close as you can get within physical reality.
Might the Shadowlands truly then be the domain of Yogg-Saron? We don't know the origin of the Shadowlands, but we know that the Emerald Dream is one of two things - it's either a plane created by Freya or it is a literal dream being dreamt by the Titan Azeroth that Freya was able to tap into.
Could the Shadowlands be the creation of Yogg-Saron? Or alternatively, if we go with the second interpretation of the Emerald Dream, the Shadowlands were another part of the Titan Azeroth's subconscious, then perhaps it was a realm that Yogg-Saron managed to corrupt. Perhaps the Shadowlands were not so shadowy originally, but when the God of Death began doing his part to corrupt Azeroth, he started by filling the Shadowlands with darkness.
While a compelling and fun villain in Wrath of the Lich King, there were some questions about his connection to the Scourge (though I'd argue it's fine and even good to have more than one single threat per expansion.) The Scourge and Yogg-Saron's forces were opposed to one another, fighting in Icecrown and Ahn-Kahet. While you could simply explain it as a turf war, I think it would be more interesting to think of it as Yogg-Saron's attempts to wrest control of his domain from this third usurper.