Class / Race Fantasy:
Best: Probably Blood Elves in general. And Blood Elf Paladins. Their lore is pretty deep and layered, and morally gray.
I’d put in second place the Forsaken as race. And Death Knights as a class. They both have disappointments in their lore that keep them from being the best.
Ironically I think… The worst:
Humans. Honestly, for the most part, all humans in warcraft: Stormwind, Arathi, Kul-Tirans, Gilneans, Alterac, Dalaran, etc. etc. are one-dimensional. With very few exceptions. Their stories are sort of bland IMO. And to that end, so does the original Human Paladin order. I think there is so much hypocrisy in their beliefs that it’s diluted for the most part their code of honor and faith. It very much needs a revisit.
There are probably countless good ones.
My most favourite because I RP’d in Classic Hardcore Anniversary is human priest. Largest church in EK/Kalimdor, core devotion to the light, means to travel to bring a lot of the folk at risk of betraying Stormwind to the Defias.
I have saved lives and countless hours of folk. 
There quite isn’t a feeling like the launch and I’m glad I was there for the second launch. 
Orc Shaman or Orc Blademaster is pretty high up there when it comes to class fantasy.
Special mention to:
Troll witch doctor
Orc Warlock
Human Footman, Orc Grunt, Tauren Chieftan or Dwarf Mountain Thane (gameplay wise they are all warrior but have very different fantasy - which is why modern warrior questlines all suck, they are Alliance slanted - look at hero talents and legion class hall)
Human Deathknight (not to be confused with the original orc deathknights)
Pandaren Monk
Human\High Elf Mage
Night Elf Druid
Human paladin