You are missing out. World PvP with the right amount of participants is more fun than most PvE content, battlegrounds or arenas. I highly recommend it.
By the way, there are some really cool quests that I recommend as well.
1. Make a Death Knight and do the quests leading up to the battle at Light's Hope Chapel. The fight is great, and the rain effect really adds to it.
2. Finish the quests in The Dragonblight. It will end with a quest "On Ruby Wings", I believe. Decent cut-scene, and the follow-up quest [not to spoil things] there is a really cool "raid" involving you, Thrall and Sylvannas Windrunner.
3. In Icecrown there is a questline where this kid teleports you to a battlefield where you control Arthas. You kill an army and raise them from the dead. Cool effects, and lightining from the hand Emperor-style.