Rogues are the masters of shadows. While two other classes actually use the shadow as a source of magical power, it's the Rogue who can potentially live and breathe the shadow, and make it an essential part of who he or she is what he or she does.
"The Shadow" as a concept, could mean a number of different things to your character, however -- anything from literal shadows that he or she might disappear in, to underground networks, knowledge of the street, and secret societies few others know about. An advanced rogue might even possess an intimate relationship with "the Shadow" as a mystical force he can wrap around himself in as a kind of cloak, or step through the shadows to appear behind his enemy in a flash.
In fact, your rogue may not even use the term "shadow" at all, and may simply think of himself as a simple bandit, thief, pickpocket, detective, scout, special agent, assassin, bank-robber, or even a venture capitalist. In fact, the Rogue class is suitable as a broad catch-all class for a number of seemingly unrelated character types, from a court jester to a penniless tourist.
Tricks of the Trade
Unlike classes like the Shaman, Druid, or Paladin, who each have a clearly defined class culture and collective identity, your rogue's social identity is limited less by the lore more by your own imagination. Like a Warrior, your rogue could be anything that fits the general abilities and temperament of the class.
But there's a trick to roleplaying a rogue well. Too many rogues somewhat ruin their character's effect by standing in the center of town, wearing their sexiest rogue armor for all to see, bragging about how very sneaky and shadowy they are. Of course that option could conceivably make sense for certain rogue characters -- but consider how very non-rogue-like it is, how very lacking in either subtlety or style for a person to actually say, "'I've got lots of subtlety and style!"
Being a "master of the shadow" presents us with one of the most interesting opportunities as roleplayers in WoW: to try and take the emphasis off of our own characters as much as possible, and just fade into the background. Instead of wearing all your hypercool leathers, or discussing the various ways you can dispatch your enemy and get away undetected, consider how much more rogue-like it is to simply listen to the bragging and talking of other people, nod and smile, and store away as much information as you can for later use. If people ask something about you, you might simply answer with information about your outer persona as a professional tradesman (such as engineer or tailor), a simple traveler, or even something so common as a "Master of Cheese" (who could even carry around cheese and offer to sell it in city streets just like an NPC vendor would). It's only when people get to know you well enough that they would want to go on an adventure with you that they might see your blades for the first time. But even then, you needn't say, "I'm a swirling vortex of daggery death!" -- just "I've got some skill with a blade" would suffice.
Of course, if you view your rogue as the sort of rogue who comes across as a wannabe or comedic relief, then perhaps overstating your own roguey powers is just the type of thing you want to do. But even then, there's no reason your rogue can't be more than meets the eye. In fact, one of the best ways to roleplay a rogue character is to think of him or her as an onion, a series of layers which other players may uncover (or not) as circumstances permit. Keep in mind, though, that openly stating, "I'm like an onion, I've got layers" (a la Shrek) is a very non-roguelike thing to say. Instead, try and say things indirectly, try to convey one meaning while also implying something else at the same time, and when smooth words just don't come to mind, fall back on the trusty phrase, "Is that so? Tell me more," and let someone else do the talking. Many a man has earned a fantastic reputation with just those words alone, listening so well that everyone around them feels validated in their presence, even if they know nothing about him at all.
When the time comes, you may find yourself able to deliver your own "roleplaying backstab" -- that special phrase or action which comes at just the right time and place to have an amazing impact on the stories unfolding all around you, or give some interesting insight into you and your friends' characters. The more you've listened and understood other people, the easier this will be, and the more it will mean to them when you do it.
That said, there are countless layers your rogue can develop. Each race has its own organizations which characters can serve for the greater glory of their people (even if the actual service entails deeds that are far from "glorious"). Elizabeth Wachowski outlined the basics of these organizations in an "Encrypted Text" column about 8 months ago, but if there is sufficient interest, All the World's a Stage could address each one in some more detail next week. However, no matter whether your character serves the Shattered Hand, the Deathstalkers, the Farstriders, Ravenholdt, SI:7, or simply your own interests, remember that this isn't all there is to your character. It's just a point to start with, like a pearl you may conceal within multiple layers of motivation and character.
It may be helpful to think of various moments in your race's lore and ponder how your character snuck through it unscathed. Where other classes might have hacked and slashed and pyroblasted their way through history's problems, how could you have found an alternate route? When your Forsaken character first started regaining his or her free will, did he immediately make a run for Sylvanas' newly conquered Undercity? Or did he pretend to remain a mindless slave until the perfect moment to escape came along? When your gnome saw legions of troggs storming into her beloved Gnomeregan, did she draw her sword and charge in, or did she look to the ceiling for things she could drop down on their heads?
Each race has countless such examples when the most obvious solution wasn't necessarily the best one. These stories allow you to define some way that your character first stepped off the path of normalcy into the "shadows" -- the ways of doing things that other people might not think of. But there are countless additional personal situations that might have influenced him or her as well. What else did your character learn other than daggers and stealth? Do you have a day job? How important are your characters other activities? Do you have an abiding passion for fishing in faraway places, shmoozing with the most famous people, or brokering the most profitable deal?
More than any other class, these extra elements that aren't necessarily part of the core class abilities and lore of a rogue are nonetheless extremely important to your character. When your class is all about stealth, subtlety and grace, it is good to have some qualities that make you seem normal, circumstances that would make your core motivations less obvious, and social skills that move the spotlight of attention off of yourself and onto other people. Then, your character can be more than just a rogue in name, but a rogue in style too.