I love the lore of Warcraft. It's too expansive to adequately describe all of it, but my favorite section of the lore has to do with Draenor. Draenor is a separate planet from Azeroth, the main world of the story. It is the homeworld of the Orcs, who comprise the majority of the current day Horde. It is the homestead of the Draenei. It is also the staging ground of the Burning Legion's assault on Azeroth. The Burning Legion is pretty much the main antagonistic force in World of Warcraft, and is responsible for everything from the death of the World Tree to the rise of the Lich King. Sargeras, corrupted Titan (creators of the universe) and leader of the Legion, has his hands in almost everything bad that has happened to Azeroth. In its first iteration in World of Warcraft, Draenor was known as Outland. It was largely taken up by scorched wastelands where the Burning Legion had invaded and destroyed it, though there were a few undesecrated places. In the current expansion (Warlords of Draenor), players have been taken back in time to an alternate Draenor, not yet ravaged by the Legion. Here, they have been fighting the old Orcish leaders in order to stop a new invasion of Azeroth. Basically, Draenor is as much of a central location to the story of Warcraft as Azeroth itself.
Warcraft lore is my favorite too. I've read most of the books and spent countless hours skimming and going through linked wikis. However, I'm a bit old school and prefer the lore prior to these expansions and pandas etc. My favorite character has to be Illidan. I find his story incredibly tragic. Sure, he's meant to be evil and his brother is the goody-two-shoed savoir of the elves and who also gets the girl in the end, but come on, that's so boring. Illidan is the more 'real' character, who has a passion for magic and pursues it at whatever cost, thinking he can use it to save the elves. While his brother Mr. KnowItAll bans him from doing so and also gets the girl Illidan is in love with. And to top it all off, his bro buries him alive hundreds of feet in the ground for God knows how many years. What a douche! So of course Illidan if filled with so much hate from then on. Also, his is the most badass boss in the game with the most badass legendary drops. By far my favorite character storyline in any fantasy lore.
I have played Warcraft since it was a generic fantasy RTS. Medivh is probably one of my favourite characters. He was decieved by Sargeras and Kiljaedan (i believe this has been retconned into possession) into conspiring with Guldan, an Orcish Warlock, and building the Dark Portal, and creating the modern day World of Warcraft.