The dwarven areas and Allied Race unlock questline already have a good amount of Dark Iron lore, especially if you play through Burning Steppes and Searing Gorge. For more information, I recommend reading up on WoWpedia(more trustworthy than WoWwiki, I believe), though do be aware that the RPG section isn’t considered official canon(though it’s still useful for getting ideas).
In regards to rogue roleplay–rogues are a very versatile class and can be reskinned as any number of things. You might be an agent of SI:7, a thief, an archaeologist, a pirate…the list goes on. It’s just a matter of what kind of character you are interested in playing.
Moon Guard and Wyrmrest Accord are the two biggest RP servers for PvE; Emerald Dream for PvP. Moon Guard is dominated by Alliance, with a small, tight-knit Horde community. Wyrmrest Accord is split evenly between both Alliance and Horde, and is home to the largest population of Horde RPers. There are also smaller servers like Cenarion Circle.
For Classic RP, Bloodsail Buccaneers is the go-to for PvE-RP and Grobbulus is the go-to for RP-PvP, I believe. There’s also Deviate Delight.
Before choosing a server though(and especially before paying money for any transfers!) I highly recommend rolling alts on the ones that interest you and checking out the atmosphere to make sure it’s agreeable. Not all servers are alike and the flavor of one might be better than the flavor of another.
These two links should give you a good run-down on the major bits of RP etiquette. While the second link refers more to forum writing, it can help you better plan a character if you’re having trouble figuring out how to start or where to polish.
Another link that’s handy if you decide to delve into forum RP:
The new forums are friendlier to writing up stories and RPing(especially if you’re ranked highly enough to post images), but can be a bit daunting at first. That link will help you figure out how to format things properly, as well as list what rank is needed for what permissions.