A large part of what makes the experience so immersive is the seamless transitions between, well, instances. You'll understand what I mean when you finally make your Death Knight. Without spoiling anything, let me just say that Blizzard set the stage for you to level through a series of cleverly scripted, seamlessly linked "instances" where the story actually progresses as you raid the town of Havenshire and New Avalon.
No class has ever had a series of quests so well-designed as to make one feel truly into the story. One quest involves traveling Into The Realm Of Shadows, which uses the same mechanic as the daily quest in Blade's Edge, transporting you into another plane. The view isn't as psychedelic as in Blade's Edge, but it's dreary, creepy, and very deeply sinister. Needless to say, a lot of the quests also involve killing... but not the challenging kind. Most of the kills are child's play, deliberately made to empower the player. It's so easy you'll really feel like a bully doing all the quests. I think that's the whole point.
By the time you're through with the entire Death Knight starting experience, you will feel a sense of disgust at what Arthas' Death Knights are. One quest is tailored to the player's race, something that adds to the flavor of the class and is intended to sow some remorse into the player. The point is that Death Knights are such nasty, nasty creatures that you're not actually supposed to enjoy being one. Not under the Lich King's command, anyway. But man, is playing a Death Knight enjoyable as heck.
It's not just the class design, which will be refined and likely toned down before release. It's the storytelling working hand-in-hand with game mechanics giving an immensely fulfilling experience. Even the music was fantastic... getting heavier and more ominous as you near the end of the experience. The quests are well-designed -- a few are bugged right now, of course, but certainly well-designed. It has flavor, the fun factor, and it's extremely rewarding. In fact, the entire series of quests -- which will take Death Knights from level 55 to 57-58 -- was so much fun that I made a second Death Knight and happily went through it again.
The grand finale of the Death Knight starting experience is the quest The Light of Dawn, a truly epic and fitting ending to a short but involving story. It's essentially one grand, theatrical event with repugnant Abominations, towering Flesh Behemoths, rabid Ghouls, and a virtual who's who of Death Knight lieutenants and commanders facing down the superstars of the Argent Dawn. The ground shakes, the skies rain blood, and there's some family drama as well as a jaw-dropping staredown between Arthas and Tirion Fordring, who has transformed from a quest-giving recluse to a total badass in full Lightbringer.
Like I said, I was never big on role-playing. But that quest, that event, made my jaw drop in awe. Seeing Tirion Fordring bring a host of Death Knight lieutenants to their knees made me want to log off and hop onto my Paladin (which I did as soon as I finished with my Death Knight, of course). That was the point. You break free of the Lich King. Arthas is wrong. Arthas is in trouble. The Argent Dawn, the Silver Hand, and even the newly named Scarlet Onslaught are going to Northrend to beat down the walls of the Frozen Throne. Even you and your faction, whether it be Horde or Alliance... you're all going to Northrend for what promises to be a showdown for the ages.
The Death Knight starting experience, from start to finish -- specially the finish -- was one of the best experiences in all my years of playing World of Warcraft. That is how an MMO should be. In a way, there was a lot of hand-holding, but it was necessary to ensure that Death Knights finish all the quests and come out fully geared for the Outlands. Right now, Wrath of the Lich King is shaping up to be one of the best games Blizzard has ever worked on. That's saying a lot. If you do get Wrath when it finally hits the shelves this year, do yourself a favor and make a Death Knight, even just to play through the starting experience. For me, at least, is served as a reminder of how truly fun this game can be.