That's a good question, and my answer isn't going to be very clear, because Warcraft itself isn't clear on it. Warcraft used to be based much more heavily on Christian concepts. There was a Heaven and there was a Hell, there was God and Angels and all that jazz. It's much more vague and nebulous now. It seems that the Twisting Nether is the current concept of Hell, but that might just mean it's a really bad place and not somewhere that sinful dead people automatically go. I have no idea if there is still a Heaven, but the Priest quest for Benediction/Anathema has you escorting souls of Stratholme's dead to the afterlife. So do they exist? Probably, yes. It is suggested that they definitely do exist. What are they like, exactly? We don't know.
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