The Undead are some of the least conventionally gendered avatars in the game, pretty much all looking like rotting corpses.
They’re supposed to be former Humans, so their skeletal builds more or less match the Human models’. However, like the Orcs, the Undead females are presented as explicitly un-sexy, as two of their jokes reveal:
“Yes, they’re REAL! They’re not mine, but they’re real!”
“I’d paint my toenails, but I’m not sure where they FELL OFF!”
(The rest of the Undead female jokes, like those of the males, are gallows-humor plays on their condition as zombies.)
The males perform a type of headbang dance, which, WoWWiki posits, might be an allusion to a character in the Darkstalkers franchise, a series of monster-themed fighting games from the mid-90s. (More important is the association of head banging with heavy metal, which likes occult imagery. That’s probably why Blizzard has used Ozzy Osbourne in WoW commercials.)
The females’ dance is liquid dancing, a style whose roots are 80s and 90s raves. Both dance styles are associated with countercultural groups, a significant part of the Undeads’ rhetorical gestalt.
They’re countercultural. Since, according to the lore, the Undead used to be Humans, they share a lot with the Humans, representationally, particularly British architecture and naming conventions. But as members of the Horde, they are, of course, the Humans’ enemies, and they’re even regarded by their Horde allies as being creepy and separate. They aren’t evil, per se – the playable Undead (officially named the Forsaken) are former soldiers of the Lich King, the game’s latest arch-enemy, and their raison d’être is getting even with him for plaguing and enslaving them. They really only serve their own agenda, so they aren’t particularly good either. WoWWiki’s entry describes them as “nominally allied with the Horde but serv[ing] only themselves.”
Perhaps an element of the Undeads’ countercultural semiotic is the fact that they don’t really fit into the high fantasy genre. High fantasy does have its share of zombies, walking skeletons, and the like; but WoW‘s Undead are more horror than fantasy. I don’t have much to say about this other than that Blizzard seems relatively unafraid of blending genres, and that the Undead aren’t the only evidence of this practice (e.g., the next expansion, Cataclysm, will introduce a new playable race of werewolves called Worgen).