Inevitably someone will ask how the Scourge built all of that in the less-than-a-decade between WCIII and Wrath of the Lich King, so I'll nip that one right away: Come on, it's Warcraft. Have you seen the Scourge? You know, the endless hordes of the damned, some of which wield horrific amounts of magic and they construct mile-high monstrosities of twisted flesh, bone and metal? Yeah, sure, it would take us boring real life humans a lot longer to encase an entire region of the world in metal, but the Scourge? Those bone giants in Icecrown are half the height of the gates. They could erect one of those things in a few days provided they have the materials.
"What happened to the Qiraji after we invaded their place and took out their boss? I just don't see the Horde/Alliance completely erasing an entire species out of existence."
You might be surprised. The Qiraji didn't exactly have a vast empire anymore, they had nowhere to run, and our only experiences with them have been them and their God attempting to eradicate pretty much everyone. Every single living Qiraji was in Ahn'Qiraj. The way the Horde and Alliance tore up Silithus when the gates opened, they very well might have wiped out most of them, if not all of them.
That being said, I wouldn't be shocked if we met some survivors down the road. Ahn'Qiraj is one of the current locales being used extensively in the World of Warcraft comic, but the Twilight's Hammer has taken it over. They still can't decide whether C'Thun is dead or not, so maybe the Qiraji aren't dead either. Or maybe they are. Or maybe they're not. Or maybe they are! Freaking comic.
"Are all Nerubians bad? Clearly there is some sort of faction because of the quest givers for Azjol-Nerub and Old Kingdom. But will Blizzard ever explore the Nerubians more?"
If my memory serves me right (and there's a chance it doesn't), they initially planned to do way more with Azjol-Nerub. At least their initial description of what it would be differed from what is there in Wrath. The Nerubians do still have a non-Scourged faction, but they're few in number. According to the RPG book Lands of Mystery, the living Nerubians use a place called The Sundered Monolith as their holdout. It's stated in that book that only 400 living Nerubians remained at the Monolith.
It's questionable whether those Nerubians are civilized in the way we interpret that word or not. Sure, they're not the Scourge, but that doesn't mean they're gumdrops and rainbows. They could be vicious and brutal in a very different way. We don't know, because Azjol-Nerub's representation in Wrath of the Lich King is sadly skimmed over. It was one of the things I looked forward to seeing most in Wrath, ever since I wrote Know Your Lore: Azjol-Nerub. It's just not there, though. Who knows if we'll ever see more.
The following question contains spoilers for Arthas: Rise of the Lich King. If you plan on reading that, you're done. Column over. Move on with your life.
"At the end of Rise of the Lich King, it's heavily implied that Arthas' mind is the ONLY mind that makes up the Lich King. This contradicts both the official Blizzard comment "Now Arthas and Ner'zhul's spirit are one and together they are the Lich King." and some in game text (the quest where The Lich King says something to the effect of "I used to be a shaman once."). Which is in the right here? Is the Lich King JUST Arthas now, or still Arthas/Ner'zhul?"
The Lich King is not one or the other. The Lich King is both, and he is neither. The scene at the end of Arthas shouldn't be interpreted literally. In the crowded mind that was the head of the Lich King, the Lich King entity (not Arthas!) killed off both Ner'zhul and Prince Arthas. It's symbolic of the loss of individuality, and that's what they've been trying to really drive home about the Lich King. The individual components, Ner'zhul and Arthas, don't even exist anymore. They've become one, and in the process of becoming one, both of them were lost. So saying, "They're both the Lich King" is pretty much the same as saying, "Neither of them are the Lich King."
To try and give an example, imagine that you're starting to bake a cake. You've laid out all of your ingredients. The eggs, the butter, the flour, the vanilla, all of that. You can point out each and every ingredient. You can point at an egg and tell everyone that it's an egg and they can clearly see that. You can do the same with all of the other ingredients. Once you've mixed them and baked them into a cake, can you do that anymore? Can you take a piece of that cake and point out where in the cake the flour is? Could you still hold up a piece of cake to someone and point out the egg? No, you can't. Sure, the things are there in the cake, but you can't find it anymore. You can't take take the cake apart and end up with a fully formed egg again, either. All of the ingredients have changed irreversibly. Those ingredients make up a whole, and in the process of making that whole you lost the ability to perceeve each item individually.