Eh actually it started in WC III. While the Second War is interessting too the important tidbits are also told ingame. What you need to know is that orcs are imprisoned by humans and want to be free, made a demonic pact that corrupted them etc, is more background history that should be part of the manual but in the BestSeller Series they saved money by not delivering those.
So while starting from WC III into Vanilla you may not know why the first and second war happened and who Doomhammer is but this does not matter for your enjoyment.
Even later it is more important to see in WotLK Classic the unique storylines of Battle for undercity in Northrend to have a better understanding of the Cata story and why actually Garrosh decide to go to war.

Do these main characters such as Jaina, Malfurion, Tyrande, Anduin etc. act as a big part of the earlier expansions too?
Vanilla.
It has been a long ongoing story since the launch of WoW (which in itself was a continuation of stories presented in the RTS games). But plenty of expansions are a good ‘jumping in’ point.
The main story imho begins with The Fury of the Sunwell Patch in TBC
This is the first point in the game where all the players got funneled into a story development of the game.
Before that, the story was fragmented between low profile questlines and raid-locked stories.
It starts 10,000 years ago…

It starts 10,000 years ago…
*cries in 20k+ years old Dracthyr *
Like most other people have already commented here, there are snippets of story being spread throughout every expansion since Classic.
It IS confusing to a lot of people who start new and want to know/understand/experience the story in a holistic way, which is sadly a tradeoff when you have a dynamic game, where the story keeps evolving. Most of it can still be experienced now, in large part thanks to Chromie Time, where you can decide to level alts in various expansions and experience the story in a somewhat accurate timeline, if you start chronologically.
Also, usually the current expansion will somewhat be tied to story or characters from earlier expansions. Legion and BFA was somewhat tied to Pandaria’s faction war between Garrosh’s Horde and the rest. Shadowlands was obviously tied to Icecrown and Arthas, in some regards even going further back to Warcraft 3. Dragonflight is in many ways tied to Cataclysm and Deathwing, with the story of the Aspects and the Dragon Soul. And usually, every expansion has some sort of tie to the previous expansion, most of which is found in the pre-patch leading up the new expansion (which sadly you cannot experience after it ends).
The last part is my main gripe. I don’t advocate to bring back rewards or titles or anything that you got from the pre-patch events, but many people now will not know the story between Wrathion and Anduin, why/how WoD happened after the trial of Garrosh in MoP, what happened in Darkshore or Tirisfal Glades, or even where Saurfang is.
I’m no expert but having played the game from the first expansion I find the story threads occuring throughout the whole saga even from as early as 1994 with Orcs & Humans. To pick up on one item mentioned and the Dragonflight origins , you meet up with Alexstrastraza and the Wyrmrest Accord in Dragonblight Northrend. There is even the legendary Path of the Titans.
For me I do enjoy some of the Warcraft story videos on YouTube. There are still many educational history lessons to be enjoyed in the game. My favourite is the ride from the Forsaken High Command with Sylvanas where she explains that she was not always the Banshee Queen and her people have not always been the Forsaken. That particular chain quest with Sylvanas in itself explains a lot of the early period of the game right up to her death at the wall.
Another informative and interesting period is the early introduction of Edwin VanCleef and the Defias Brotherhood and the building of Stormwind. I really do think you have to go back to the Classic game to fully appreciate just where the story begins. And you would seriously need to read all the books scattered around and earn your Well Read achievement. I say Classic cus the books are not on the shelves post Cata. Yet another desecration of the game by the later teams of designers… I must have died a hundred times trying to creep into Scholomance to read a couple of books solo. Same with the Scarlet Monastery.
The point here I guess is that the game does not encourage the full passage of each expansion by new players levelling. Also the designers have shredded the original game and diluted so much of the content. I feel most privelaged to a have enjoyed it all and I find it difficult picking and choosing any given part as more significant than another as in truth you need to appreciate all of it if you want to know what really is behind the whole story arc.
There is a scene in the trailer for Legion where Varian Wrynn looks across to Sylvanas as they prepare to do battle. There is so much laced into that moment of Warcraft history than you can imagine … but not knowing what has gone before diminishes the experience. Its a brilliant trailer and well worth watching over and over.
I do love this game and the story, the real story is one of the best ever written. Read the books. All of them.
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