Despite being closer to WoW's "Outer Planes" than its Shadowfell, the Shadowlands are nevertheless distinct from them.
Here's what we know:
When a mortal dies in the Warcraft cosmos, their soul goes to Oribos, the city at the center of the Shadowlands. There, it goes before the Arbiter, an eternal and ultra-powerful entity that can, in an instant, determine what sort of person that soul was in life.
The Arbiter then sends that soul on to an appropriate realm of the Shadowlands. The zones we're going to see in the expansion are five of those realms, but Blizzard has been very explicit in saying that there are many more - which both frees them up to add more to this location and also to create more Shadowlands lore.
The Shadowlands, as Bolvar tells us in the features trailer, are infinite. But they are also limited in the sense that they are there only for mortals. The Shadowlands is a plane of death, but one of the intriguing elements to it is that while this is, yes, Death with a capital D, it's not all dark torment and menacing skeletons. There is beauty and peace to be had here, because after all, there are good places for the dead to go as well.
Indeed, one of the realms we'll be seeing, Ardenweald, is not even a permanent home for the dead - it's there to prepare souls for reincarnation or rebirth, and to send them back to the land of the living with new life.
In the Demon Hunter starting experience - specifically the Mardum part of it - if you die (which might happen as a part of quests, as you need to either sacrifice a fellow Demon Hunter or yourself to open a portal, and obviously you should choose yourself) Illidan will comment that you actually have a demonic soul, which means that you can't truly die (unless you're in the Twisting Nether, presumably.) While this is a justification for a mechanic that already has an alternate justification for other player characters, it's interesting.
Knowing more about the Shadowlands, we know that Demons to not go here after death. They, of course, go back to the Twisting Nether. But if killed there, it seems as if they simply cease to exist.
Most demons we've encountered are former mortals. Kil'jaeden was an Eredar (which is what the Draenei truly are) and Xavius was a Night Elf. It seems likely that Felguards, Succubi, and Imps were probably all once mortal races that were corrupted by the Burning Legion or perhaps pre-Sargeras demons. But if a single individual in the span of a decade or two can have their soul turned into a demonic one, one imagines that this process easily could have taken hold in demonic races.
I suspect that when we go to the Shadowlands, we're really only going to encounter the living and the undead. I don't know how all the entities within the realms will count - I imagine there will be variety for the sake of variety - but it would make sense for everything there to count as undead.
The thing is: we also know that, while not destined for the Shadowlands, some demons must have been able to get there.
The Lich King was the creation of Kil'jaeden. He tore Ner'zhul's body apart and planted his soul in a suit of armor, which was capped off by the Helm of Domination. And we now know that Frostmourne and the Helm of Domination (and possibly the rest of the armor, but those pieces were the really important ones) were created in the Shadowlands.
Did Kil'jaeden actually go there, then? (I may be misremembering things - it might have been a group of Nathrezim who did so, but that leaves the same questions.) Naturally, we're going to be seeing Demon Hunters entering the Shadowlands, but given the way that the veil between worlds was shattered, that makes sense. After all, the Living aren't meant to be going there, but we'll all be making our way. In fact, only the Forsaken and the Death Knights really seem like they should be capable of entering unimpeded.
I do wonder to what extent Ny'alotha is related to the Shadowlands. The Shadowlands have sort of functioned as an opposite to the Emerald Dream, but the recent reveals about it suggest that they're much bigger than the Dream. That being said, I've often wondered if Ny'alotha is something like the Shadowlands equivalent of the Nightmare - an afterlife for the Old Gods, which explains why Ilgynoth went there. (On the other hand, Ilgynoth died in the Nightmare, which might connect Ny'alotha there instead.)
The Jailor appears to be some entirely new lore figure - unrelated to the Old Gods or to Sargeras. On the other hand, we know so very little about him that it really remains to be seen. After all, when we went to Pandaria, what appeared to be totally new lore stuff turned out to be deeply tied to the Titans and Old Gods.
On the other other hand, though (the first hand?) Pandaria was ultimately just another continent that had been isolated for ten thousand years. The Shadowlands is a whole new plane of existence, beyond anything we've seen in WoW before.
It does make me wonder, though. Consider the Bridenbraid quest line in Icecrown from Wrath. Unable to free his body from the Scourge plague, we ultimately call upon A'dal and the other Naaru to carry his soul into the Light. I know this quest is from over a decade ago, and likely a lot of this lore had yet to be established. But did the Naaru effectively steal him away from his proper afterlife? And if they did that for him, why not take figures like Uther?
When looking at the Shadowlands in terms of its villainous threats, it's easy to distinguish between the various bad guys and say that demons and Old Gods are not going to be much of a thing there. But what about the "good" guys? The Wild Gods, for example, seem to rejuvenate in Ardenweald. But is that just because they're on the same life-death spectrum? How do the Titans, and for that matter, their Titanforged creations, interact with the Shadowlands? And do the Naaru come there?
How porous is the Shadowlands for "planar outsiders?" We're told that Oribos is filled with soul-traders and travelers. Are they just traveling in between the various Shadowlands or are they from yet more exotic parts of the Warcraft multiverse?
Warcraft lore might be getting way, way bigger in Shadowlands. But that means there are a lot of new questions to ask.
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