Depends on race. Humans, Dwarves, Blood/High Elves and Draenei have a kinda light-y heaven analogue. Forsaken have a hell-y analogue. Orcs live on as spirits, worshipped by their future generations. Shamanistic trolls, dwarves, draenei, goblins, tauren might do the same as Orcs, while most would go to their Loa of the dead, Bwonsamde.
Tauren spirits go to the Earthmother. Night Elves become Wisp spirits off in the forest. Pandaren practice ancestor worship as well, so it's likely their spirits remain.
Goblins and Gnomes don't seem formally religious, but I would guess Gnomes do the human thing. Goblins do have a priest cast and have some sort of god of wealth (literally worship the almighty dollar). Hard to say, though. Presumably when they die they go to an unsecured bank vault.