Right, it's pure speculations from my part, but here's the gem from Edge of Night short story, featuring Sylvanas after she killed herself at ICC
Spoiler:
We have seen worshiper of light going to some light paradise (Assuming they didn't get corrupted when they die ala Frostmourne), like Crusader Bridenbrad joins the light in a paradise afterlife. And Maarad's "In the light, we are one." Even Uther's spirit lingers on after being freed from Frostmourne, guiding us to Broken Shore so Paladin can claim their shiny Ashbringer.
So if the light-worshiper goes to some shiny paradise, shouldn't there be a nastier place for the damned dead to go? Like the Warcraft equivalent of Hell?
Hence my speculation
The bolded part of the spoiler is, My guess? Void Lords, or ghost of the dead Old Gods. They torture and control the spirit of the damned dead, such as Forsaken, all the Undead in Northrend.
Which is why Uther's Ghost told us there must always be a Lich King, orelse Azeroth is screwed.
The Lich King is usurping the control of Undead from the Old Gods/Void Lord. Without him, the Void Lord will have uncontested control over the damned, and indeed, Azeroth will be rather screwed.
Alright, now I've let this out of my system, I feel so much better! Time to get to work!