To actually have innate magical ability would be to actually be the force they are using. The only such entities that we are aware of that have power without requiring some sort of tool or bargain are the Light and Void entities, and maybe not even the ones we know.
Fel magic is basically the burning of Anima, or the energy of souls.
Arcane magic is used by controlling Mana, a radiant particle of sorts. This was explained quite well by Rhonin in one of the War of the Ancients books when he was teaching Illidan how to use magic without drawing it from the Well of Eternity.
Life magic may end up being the energy of Anima as well since Ardenweald is a thing, but it is probably just Spirit which is one of the usual elements along with Earth, Wind, Water, and Fire. This is why Shaman are always asking the Spirits for blessings and power just as much as they ask the elements for such.
Death magic is probably similar to Fel, as it uses souls as a sort of fuel. The infamous “Frostmourne hungers”, and the questline for Shadowmourne, and the more recent questline with Bwonsamdi make this quite evident. But the difference between Death and Fel is that Death magic preserves the souls, while Fel magic quite literally burns them.
Light magic comes from, you guessed it, the Light. Paladins and Priests never just use this power, and always ask for it. Tirion asking for the Light to grant his wish one final time to break free of his icy prison during the Arthas fight, as well as the Light deciding Arthas was no longer worthy of wielding its power are prime examples. The Light very clearly is an entity that does its own thinking and makes its own bargains, just like the Void. The Light is clearly imperial in nature, as it represents Fate and Order. It directly tries to use its influence to create history in one specific order of events, and opposes anything that goes against it, sometimes even directly, as with what happened during the second Death Knight raid on Lights Hope Chapel, where the Light interfered with the campaign to raise Tirion as a Death Knight, and killed Darion Mograine.
The Void is the one we know the least about. We know the Void Lords and the Old Gods exist, but we know very little about the Void as a whole. The most we know about how it operates is that it is the opposite of the Light. While the Light is imperial and pursues one single timeline, the Void offers its power to anyone freely, and pursues anarchy.
The Light would give you a fork and say that it is for eating, and take it away if you did anything except eating with it. While the Void would give you a fork and not tell you what it is for, or it would give you several suggestions as to what to do with it; stick it in a electric socket, stab someone with it, eat with it, use it as a drum stick, etc.
