I'm not a big lore buff, but from what I know she has the most character depth of all the other leaders (yes, even Thrall). She (and her people) has a cool backstory and best of all we don't know what she'll do. She could be a responsible/bad ass leader, or she could be deceiving everyone and biding her time until she can kill everyone and turn them undead.
The unknown with her is just very cool. I love that she has all this power now and we genuinely don't know how she'll use it.
On the other side, Anduin being the new leader is meh... He's too goody-two-shoes. Wish Jaina could somehow usurp him so we'll have two bad ass (and potentially volatile) faction leaders. Would make PvP make sense again.