The first thing you should do before choosing a server is decide what type of server you want to play on. There are two basic types of servers, PVE and PVP. PVE is what's called a "Normal" server, where you simply quest and fight monsters in the world and such and the only time you can be killed by members of the opposing faction is when you allow it. PVP realms are "contested" and take this restriction off, meaning that once you leave the protected starting areas, even if it's only at level 10, you are free to be killed as often as possible, even if it's by a max-level player who has nothing better to do. Levelling will be much slower due to how often you will be getting killed.
There is a secondary restriction on some of these servers (although for a first time player I wouldn't recommend this), and that is RP. RP means Roleplaying, and the roleplaying is enforced, not just encouraged. You are your character; you speak and act as if you were portraying that character on a stage. Names and behaviors that are not in character will be subject to deletion.
There are three separate paths, or Talent trees, that you can take for every single class in the game. These can be grouped together, for all classes, in one of three basic designs: utility, burst dps, and sustained dps. Worgen can be Warriors (and warriors do not -have- to be tanks: the Protection tree is their "utility" tree, and is the tree for tanking - Arms is sustained DPS and Fury is burst; you do not have to be a tank if you are Arms or Fury), Hunters (Beast Master is the utility, as Beast Master hunters gain access to a much wider range of exotic pets that provide different buffs than Marksman [sustained] or Survival [burst]), Druids (Druids are an exception, as they have some overlap in the classes - Feral can be either tanking or burst dps, depending on your gear and your shapeshift choices - but Balance is the sustained dps and Restoration is the utility), Rogues (You mentioned you liked rogues for PVP - their PVP ability is absolutely disgusting. It's incredible. Subtletly is burst, Assassination is sustained, and Combat is utility - it's mainly designed for dungeons and raids as opposed to PVE or PVP), Priests (This class replaces the "burst" dps and replaces it with "burst" healing in the form of Discipline; Holy focuses on sustained heals by using heals-over-time, or HoTs, and moderate heals, while Discipline focuses on shields and greater heals. Shadow is still the sustained DPS/utility class, as they can do some small healing in a pinch), Mages (Frost is for solo/levelling, because you get access to a Water Elemental pet, and because you can round up a bunch of enemies, freeze them all in place, then proceed to AoE them all down and kill them all at once, so it's the utility, Fire is the burst dps, and Arcane is the sustained), Warlocks (I seriously do not know much about these, despite having a fairly-high level one. I know that Demonology is the utility tree, but I don't know much about the other ones - I want to say Affliction is the sustained tree because of all the damage-over-time spells/curses, and Destruction is the burst), or Death Knights (Don't know a single thing about these. Sorry). These roles are not set in stone, but are general guidelines for use when you are building and levelling your character.
Warriors, Death Knights, and Paladins use Mail at first and then Plate at level 40. (Since Death Knights start at level 55, this point is moot for them). Shamans and Hunters use Leather at first and then Mail at level 40. Rogues and Druids use Leather at all levels. Mages, Warlocks, and Priests use Cloth. The order of priority is Cloth->Leather->Mail->Plate, meaning that if a class can use one type of armor, it can use all other types that are below it. The real difference is that nearly all types of armor in the game are suited for one specific level; in other words, although Paladins -can- use cloth armor that gives them an Intellect buff, they really -shouldn't-, because they can use plate that Mages, Warlocks, and Priests can't and it's kind of unfair. (At low levels this doesn't matter very much at all, but at around level 40 or so when stats start to matter a bit more it matters quite a bit.)
Legions in this game are called guilds. Most guilds use a separate Ventrilo server, as WoW's built-in voice chat is terribly laggy and has low-quality sound.
I don't play on PVP servers so I can't help you a whole lot with server selection. I would suggest going on some of the realm forums and learning what the conditions are like (Are the factions balanced? Is everyone a jerk and do they all corpse camp, or do they just have a bit of fun and then leave you alone? Do the larger guilds back their members up, or is it every man for himself? That sort of thing) and then finding one that suits your play style.
Good luck!