One of the interesting aspects of the Warcraft setting is which characters have achieved a kind of iconic status. The lore of the game is the unfolding story, and the story is ultimately shaped and defined by its characters. The story is what happened to, and because of, these people be they orc, human, troll, night elf, gnome, tauren or pandaren.
Take Rexxar, for instance. He's one of my favorite characters in Warcraft. Why? Why do I love Rexxar? Well, in part I enjoy that his mixed heritage makes him an outcast in a faction of outcasts, that he was one of the few to see how twisted and warped the old Horde was in time to step away from it before it began its campaign of atrocity across Azeroth. I like his simple faith in the ideals Thrall represented for the Horde in Durotar, his willingness to fight to preserve them, and the lengths he went while at the same time knowing exactly when to finally stop. Rexxar knew that defeating Theramore and Admiral Proudmoore was enough; he didn't have to destroy it.
At the same time, I actually do like Garrosh Hellscream as a character. I find his change of heart between The Burning Crusade and Wrath totally believable. I like that he acts as he does entirely because Thrall came to Nagrand and changed his mind about his father and his father's legacy so totally that he went from hating the very fact that he was a Hellscream to trying to live up to a picture of the orc that he's constructed, a platonic conception of Grom, unburdened with real life knowledge of what he was like. Garrosh's version of Grom is the savior of the orcs, not the hotheaded pain in the ass who killed Cenarius and nearly doomed the orcs to eternal slavery, and his actions are based around trying to live up to that legacy. As a Mag'har and as the son of Hellscream, Garrosh has a lot of pressure on him to be a exemplar of true orcish strength and pride -- and it's tragic in a way.
Good characters in the Warcraft setting exist to drive forward the story, to make things happen. In many cases, they grew into their status as icons as the game series unfolded and events attached themselves, accumulating ceaselessly.
Consider some of the most beloved characters in WoW's lore. Sylvanas Windrunner is an unrepentant murderer on a grand scale who once betrayed her human allies after they'd aided her in seizing control of what is now Undercity. But since those allies were Garithos and his men, one can't argue they weren't fairly despicable.
The reality that is Sylvanas
Furthermore, while Sylvanas is cold, ruthless and unconcerned with anyone but her Forsaken subjects, she's not a cartoonish supervillain. Her history informs her current actions. Her original loyalty to Silvermoon as Ranger-General, her effort to preserve the city against Arthas, her death and violation at his hands when he forced her into undeath, and her ultimate reclaiming of her body and decision to carve a nation for the others cursed as she was all fits together and relates to the actions she's taken in World of Warcraft. It only made sense that Sylvanas should spearhead so much of the Horde's efforts in Northrend, that her lust for vengeance against Arthas blinded her to Putress and Varimathras' betrayal. It fits her character that following the fall of the Lich King, she needed to find a new motivation.
That's one of the basis for a character being of use in terms of the lore, how well he or she drives forward new plots and new stories. Sylvanas' existence in the Horde means that there's always another avenue for conflict between the factions. Arthas was useful because he started as a basically good, if somewhat arrogant, young paladin who slowly grew obsessed over time as he witnessed the actions of the Scourge, making mistakes in his need to find and stop Kel'Thuzad and Mal'Ganis and then justifying each mistake as a necessity.
By the time he took up Frostmourne and lost his soul, he'd long since eroded it away with expedient choices that were, in fact, monstrous. The burning of Stratholme, the betrayal of his own troops, and the slaughter of the mercenaries he'd himself hired were all actions taken in service to justifying the previous expediency, as terrible as it was. Arthas as a death knight and later Arthas as the Lich King showed this tendency to want to justify or prove his actions were the right ones, that anyone would have done what he did.
Experiencing characters for ourselves
One of the biggest difficulties I had with Deathwing as an antagonist is that we don't really get to experience him as a character. While his appearances don't leave him shaking his fist at the players and threatening to get Gadget next time (as was the charge against Arthas, although one I found overstated), they also don't do much to give us any sense of why Deathwing acts as he does. He's a natural disaster, a kaiju who also sometimes struts and preens and makes insinuations. But outside of a few good moments such as the Charge of the Aspects story, we don't ever get to see Deathwing's motivation outside of his generic "destroy the world" natural disaster style.
While it's true that Deathwing is insane, that doesn't mean he can't have a character. One could easily argue that Sylvanas, Arthas, and Illidan are also all insane, but they have character to spare. If we had gotten more of Deathwing's outrage and resentment (like we did in Charge of the Aspects), I think he would have been a far more imposing presence. We don't necessarily have to relate to Deathwing, but as much fun as the Old Gods and their shambling, unknowable horror can be, having Deathwing as the poster boss of the expansion but never really getting what he gets out of all this stole a little of the magic from him.
This is the monster who came up with the Daval Prestor deception, who tricked the other dragon aspects into creating the Dragon Soul, who manipulated the old Horde into stealing artifacts and blowing up their own planet. The gigantic dragon monster was fun, but I would have liked to have seen more of the cunning manipulator.
Characters don't all have to be bad guys or antiheroes, of course, although sometimes those are the most fun because they get to be active, while heroes are often forced to be passive, to react to the villains and their evil. Arthas went from a hero to a monster because he couldn't stay reactive; he took action, even if it meant taking the wrong one. Figures such as Turalyon remain heroic while still maintaining an interesting character because Turalyon, paradoxically enough, is interesting due to his humility and restraint. Anduin Lothar is interesting for his self-sacrifice and his willingness to do whatever he has to do while retaining his honor to defeat the Horde, a lesson Arthas never learned.
Uther's willingness to tell his prince he was wrong, Jaina's effort to shepherd her people across the sea and fight against Archimonde himself -- these traits can be just as notable and useful for the story. What's important is when character tells you what a character will do in a situation -- and what they won't do. Illidan won't demur to Akama, won't surrender to Maiev, won't ever give up power once he's gotten his hands on it.
Already in Mists of Pandaria, we've met old characters returning and new ones like Sunwalker Dezco. A character doesn't have to be larger than life in heroism or villainy to grab our attention and help move the story forward. Whether it's a ragtag band of SI:7 agents, our old friends Asric and Jadaar, or the return of Chen Stormstout, sometimes the characters who drive the story forward are humble, not the leaders of armies or factions. What's really important is that they advance the story, in ways great or small. They are the story, really.
While you don't need to have played the previous Warcraft games to enjoy World of Warcraft, a little history goes a long way toward making the game a lot more fun. Dig into even more of the lore and history behind the World of Warcraft in WoW Insider's Guide to Warcraft Lore.