A lance is a weapon usually carried by knights and other mounted warriors. Using this weapon on horseback gives them an advantage against enemies that are on foot. Sargeras is known to wield a lance.
In World of Warcraft
The Argent Tournament makes use of the lance as a requirement to activate a jousting mount. Several varieties exist: Argent Lance, Alliance Lance, Horde Lance. All are equivalent for purposes of allowing access to a jousting mount.
There are a few other lances in World of Warcraft.