A study that looks into how playing World of Warcraft effects players' social competence and loneliness, done by the Tilburg Center for Cognition and Communication at Tilburg University in the Netherlands, was recently released by the Journal of Applied Social Psychology. To players, especially those who are shy or socially anxious, it's no surprise that getting into the game can be an easy way to socialize -- but our perceptions of the game are a long way from scientific evidence. This study surveyed 790 high school students and found an indirect correlation between those who played WoW and those who were more socially competent. From the study itself, "Adolescents who play WoW vary more in their communication partners, leading to an increase of social competence and a decrease of loneliness."
This study is a long way from concrete proof one way or the other, but it's nice to know that WoW might not be outright bad for our social skills.