It's been a while since I don't play WoW and I've been thinking about coming back to it but there's just one thing that's not very clear on Lordaeron which is the progression thing. Does that mean that I have to progress through the content properly (eg. To do Ulduar I need to finish Naxx first)?
Progression just means that they are releasing content in the order it was released in retail. Eventually this server will become like Ragnaro/Deathwing allowing you to just skip all previous tier by farming the gear from newer Heroics and head start into Icecrown Citadel. Currently there are no catch up mechanics/dungeons on Lordaeron, so at the moment if you expect to do Udluar, you better have Naxxramas gear or get carried hard by people who are willing.