Undeath in Azeroth and beyond it (such as the hordes of angry dead in Auchindoun on the former world of Draenor, now Outland) is a terrible condition. Undead are not supposed to be undead; undeath is an imposed condition that creates a moving entity that does not live. (Even in those few who achieved undeath themselves, like Meryl Felstorm, undeath is still imposed on their flesh or spirit -- it's simply self-imposed.) Undead spirits do not hold perfectly to this mortal coil, and as a result, they often suffer greatly.
Undead who manage to maintain any fraction of their former will and sapience are beings who simply cannot truly feel the world any longer. Their spirits dwell forever trapped in between the rest they are unable to achieve and the sensations that life brings, sensations they can no longer fully experience. This separation from life is due to the fact that their souls are, in essence, forcibly conjoined in some fashion. Necromantic magics fix the spirit to whatever form it maintains, be it a ghostly one or a prison of rotting flesh. Heat, pain, flavor, all the subtle and gross aspects of life are denied them.