Well, a few things. To give some context however, I've been playing non-stop since Beta, and I believe that with the evolution of the game not everything they (Blizzard) implemented is necessarily bad, it has good sides and down sides as anything does. It's been almost 10 years, enough to turn your life around, and just as my life evolved, the retail game had to evolve, and I can appreciate that because if it was still like Vanilla, I would have had to let go raiding a long time ago.
However! I do miss my vanilla...
Scale:
It was truly a WORLD! It was months before I had the entire map charted and covered, I recollect travelling what seemed kilometers to get to one place or another, everything; every distance, every area seemed massive. And I actually remember wishing it was even more expansive than it was.
You had to actually travel, you had to consider if that travel was worth it before doing it, you had to make choices of best routes, and you had to make sure you were prepared so you wouldn't waste double the time in case you forgot something back in the civilized world. You had to actually know the location of each dungeon and raid entrance, and to do that you might have also quested in that zone, giving you some context of why that dungeon is there and why you need to kill the creatures in it.
I can't leave this topic without approaching the flying mounts, although exciting, I could see it coming when it was announced; the end of true travel and an PvP engagement, no longer you had to know the roads, the nooks and crannies, the shortcuts, the geography, or fear for your life. The decision of "should I take the road and risk ganking, or the woods and possibly a slower trip due to mobs or obstacles?" was taken away from us, and I didn't like it.
In short, it gave us a sense of massiveness of a true world, one that today's portals-and-queue-buttons have stole from us.
Social Networking:
It's hard to put into a small description all the achievements the vanilla community created, the community was just different back then, gamers were a different concept of what they are today, and specifically MMO players were a different breed, more patient, more lenient, more helpful.
A person would either play alone or had to engage in social conversations in order to get a group together, the best part being that that social interaction was smooth, it didn't seemed forced. People were more open to conversations and just generally helping, as opposed of today which it's hard to find help and people are not open to conversation at all.
I've made real life friends in this game, people I have met in reality and that are really close, a true friendship. All of those were made pre-Wrath, because socializing and puzzle solving (dungeon crawling and tactics) just became unnecessary, no exchange of words is needed these days.
Dedication
From character building to actual raiding, to my perspective people seemed more interested and more engaged into their characters and raid kills.
I recall loving to bits my 3 60's, you had to dedicate a lot of time to them and it made you love them even more. I didn't have one of each class that I easily and effortlessly leveled to the cap, I didn't have 5 or 6 other classes that I forget how to play if I don't pick them up for over a month, I didn't have this much choice. Don't get me wrong, choice is good and I appreciate the chance I can play other classes at high level and have a feel of how they work, however I can never find myself dedicating true time to them or even relate myself to those characters like I am to my original 60's and 70's.
Classes / Tactics
Each class felt unique, they had their ups and downs, their traits and skills. There was no perfect balance, or even an attempt of perfect balance, and that - ironically - made it perfect.
Heal spells were different in each class, healing classes didn't have 3 heal types, the fast the mid and the large one, shamans held the only bloodlust, warriors had to 'stance dance', Warlocks had their odd soulstone, it was a blessing to have them in groups to rez the group after a wipe, or a shaman, or even a rogue with vanish+jumper cables was appreciated back then.
CC was used and abused, it was a lovely dance to see mages polymorphing, warlocks seducing/banishing, druids rooting/sleep, priests shackling, rogues sapping/blind and hunters freezing. When they all worked in sync and nothing was broken by the tank or a miss-fire, it was beautiful, like a well rehearsed concert.
Everyone wanted to bring something to the table, and it was appreciated by everyone else in the group. Doing 5 man dungeons successfully along with significant raid kills were the best moments in vanilla, for me personally.
Lore
There was no main antagonist in the world, it was a wild lush world, riddled with problems in certain parts of the world, but filled with beauty in others. Small towns had problems with local antagonists, hopping for a brave adventurer to come and help, but otherwise left to their own deviations in fighting the threat. Nobody was here to dramatically take over or destroy the world, the big threats were disguised and subtle (making it sound even deadlier).
There was the prime daughter and son of Deathwing (a name whom you only associated with mistery back then and had only encountered in WCII or books) with their devious schemes to take over Stormwind by infiltration (Onyxia) and by creating an apparent perfect dragonflight with chromatic dragons (Nefarian), but these were threats that took time, slowly building up, slowly conniving and plotting in some obscure part of the world, a lonely mountain, a murky swamp or right under your nose in Stormwind, they were intelligent evil doers instead of blatantly and cheesily yelling "I'M HERE TO TAKE OVER THE WORLD".
C'Thun was no different, slowly plotting to take over the minds and sanity from all sentient creatures, and it took true determination from the entire world to defeat, I believe that was the first true blatantly evil character, as the each server had to brace itself for a real struggle to keep the insect threat bellow the equator.
Naxxramas was a beautifully designed dungeon, and so very different from everything else so far, and it just stands to show the diversity of environments given to us back then. Giving us just a taste of the power of the Lich King, which we could only wonder about being in the cold north and from WCIII + TFT expansion nostalgia.
In conclusion, There was no "theme" to the vanilla threats, no Outlands, Lich King or (laughable for what used to be a highly regarded antagonist) Deathwing. The world itself was huge and filled with danger, you felt it in the dungeons, raids and on the road with lingering PvP. And that's what I want to come back to, I realize perfectly it won't be the same, it never will, but I still keep trying because it's that engaging. I love Azeroth.