World of the dead

The world of the dead (possibly the realm of the dead) is presumably the world where the dead reside. The dreadlord Balnazzar was able to possess the body of Saidan Dathrohan because he was stuck in between worlds of the living and dead and the warlock Vendellin Soulfire casted a fel curse that caused Valeera Sanguinar to be possessed by the dreadlord Kathra'natir.

Speculation

 * Sargeras' soul (or a portion of his soul) might have existed in-between the world of the living and the dead. Medivh was possessed by Sargeras' spirit.
 * According to Micky Neilson Balnazzar was a special case of a demonic possession, however, the Warcraft III manual states that the nathrezim set out to conquer a populated world by possessing its inhabitants, suggesting that the majority, if not all, dreadlords can (or do) exist in-between the world of the living and the dead.