Picking a Server
World of Warcraft has a chat channel system to allow players to create their own private chat channels. Use the /chat command to get a listing of chat channel commands. You will automatically join chat channels "General", "Trade", and "LocalDefense" when you create your character.
To send a message to a chat channel, type "/# (message)" where # is the number of the channel you would like to send to. 1 is always the "General" channel, and 2 is the Trade channel when in a city. (Type /chatlist to see a list of channels you are currently on.)
Item links can be sent by shift-clicking any item, but they won't work in any "numbered" chats other than the Trade channel, which only appears in large cities. Links will work in party, say, and guild chat. (This was done to prevent item/trade spamming in the General chat channel; unfortunately, it also means that you can't share item links with friends in private chat channels. However, if someone requests that you link an item to them, you can do that through whisper.)
The Mail system
For a small price (30), you can send in-game mail to other players. This can be sent when other players are offline or online. An icon will appear near your minimap indicating if you have new Unread Mail. To read your mail, visit the postbox outside any inn. You can also send items through mail to other players as "attachments". Sending mail is instantaneous, unless there is an item attached, in which case the message will take one hour to be delivered (sent items between characters on the same account is still instantaneous). Attachments are returned to the sender if the message goes unread for 30 days, or if the recipient does not remove the item from their mailbox within 30 days of reading the message.
You can also use a C.O.D. to send mail with items attached. This allows you to set a price for the recipient to be able to collect the item from the mail (i.e. you can charge them for the item). When the recipient clicks the item to put it in their pack, a dialog comes up stating the price. If they say accept, then the price is deducted from their money and sent to you in a mail message. They may also select return which will return the item to you via mail. C.O.D. items expire from the recipients inbox in 30 days even if unread, so be sure they know that it is coming. You can C.O.D. items to your other characters on the same account also.
You may also send cash in mail, but all mail sent with money arrives with an hour delay. For example, your character needs a bit of quick cash and you have another character on the same account with cash, switch to the other character, drop some cash in the mail, then switch back, and the cash should already be in your inbox. If your other character is on another account (say, your brother's or sister's), you need wait 1 hour, log out to the beginning logon screen and proceed as normal. You don't need to be on one account to send money or any such, but it is much faster and easier.
Also see Interface Customization