Should you choose the Alliance as your faction, you'll begin in one of three starting areas: Northshire (Humans), Shadowglen (Night Elves) or Coldridge Valley (Dwarves and Gnomes). Take a look at the map below to see where these areas are situated and you'll notice that the Night Elves start the game far away from their other Alliance brethren, which can be an issue if your friends are of another race because the run to link up with them can be very dangerous.
In order to traverse between the continents your first time, you'll need to get to the port closest to you (either Auberdine  or Menethil ). Getting to and from Menethil is the really challenging part as it lies quite a distance from the major Alliance hub of Ironforge, so you'll have to get creative when running through the Wetlands [also 5]. The easiest way to do this is to stick to the roads that run between Menethil  and Thelsamar  in order to avoid marauding monsters. Of course, you can't always avoid enemies, so you might find yourself "corpse running," which is a process whereby you run until you get killed and then run back to your dead body, at which point you can resurrect yourself. Expect to repeat this grisly process.
Aside from hooking up with your faraway friends, you'll want to stick near to your starting zone until around level 10. Each zone is tailored to introduce you to the game and offers a wide variety of quests to help acclimatize you to the controls of your new character. In the drive to level up your character, quests are your best friends due to their hefty experience point rewards (they also kick down some "phat lewtz," aka cool gear and weapons). You'll find that many of the quests will have you journey to specific areas on the map, so it is always best to stock up on quests at the closest town and then complete them all at once (this is true throughout the game).
After you've reached level 10, things start to get really interesting as you'll receive your first class-specific powers and talents. You will also need to relocate to a new, more dangerous zone, and the two best places to go to get up to level 20 are Darkshore (the zone where you'll find Auberdine ) and Westfall . Both of these zones provide plenty of quests with minimal jogging around; although, you'll still be doing plenty of running about at least you won't have to travel between zones too much.
If you happen to stumble onto a quest with an <elite> or <dungeon> tag next to its name in the quest log, just hang onto it until you can get a group of four other friends together as they are very challenging and you will not be able to do them on your own. Westfall  is home to the first "instance dungeon" you'll encounter, which is an extremely challenging area that creates a special copy of itself just for you and your party so you won't run into any players you didn't have with you when you started. This first instance, called The Deadmines, harbors tons of extremely powerful enemies, but also holds tons of profoundly valuable weapons and items. Consequently, once you've gotten to around level 20, you'll want to hit The Deadmines with a full group in order to grab some sweet gear... in fact, you'll probably want to make a couple repeat trips so that everyone in the party can cash in on the vast treasures inside. Essentially, a good rule of thumb to remember is that instance dungeons are more about getting good gear than they are about leveling your character.
Post level 20, you'll likely want to cruise through Thelsamar  and polish off the handful of quests there before continuing on to Ashenvale . At this stage, you'll notice that quests will require you to travel more frequently, but don't be tempted to go globetrotting if you want to level quickly. Leave the traveling quests alone until you complete the local quests so that you can minimize the amount of running around, and maximize your experience earnings.