As a wow player and a 3D artist I've always wanted to work with Blizzard's models in controled setting. Machinima and digital art can only go so far with just WoW Model Viewer. I've prepared a tutorial on how to correctly import a WoW model into blender so it can be rigged and animated.
This tutorial will not go into how to use Blender. There are many tutorials out there for this software package. For those not familiar with Blender, it is an Open Source 3D package.
This is a very basic tutorial, there is much more that can be done once you have a model in Blender, but is beyond the scope of this tutorial.
Useful Blender Links:
Blender Foundation
http://www.blender.org/
Blender's Main site.
Blender Cookie
Blender Cookie is a great video tutorial site.
Blender Guru
Blender Guru is another amazing video tutorial site.
Wow Model Viewer is easily available on its site.
We'll start with Wow Model Viewer (WMV) assuming you know hwo to load and find a model. From there we'll export a model and then import it into Blender. After importing we will clean up some nastiness that occurs and do a simple render.
On to Part 1: Export
I've shosen Anduin Wrynn for my export.

Here you see the export settings I used. I do not like preserving the directory structure, it makes the textures harder to work with.
I chose Initial Pose for this as I intended to rig the character for animation. You can use any animation and pause it and WMV will output that pose for your model.
I then exported as a Wavefront OBJ file.

This is what WMV Outputs. It contians the model in OBJ form, a texture image, and a MTL file that is a material description for the model. If you preserved directory structure, the image texture would be burried in subdirectories.

Part 2: Import
I start Blender with a new scene.

I delete the default cube and begin importing the file.

There are some setting in the import window to understand.

On the left is the Import OBJ settigns area.
I deselect NGons. NGons (for those who don't know) are polygons with more than 4 sides. Blender's NGon support isn't fully limited. With this deselected it will import all polygons as trinagles if they have more than 4 sides. In fact, due to how Blizzard's models are made, all faces will be Traingles (Bleh, Triangles are bad for fine renders). I've spent hours trying to retopologize the models with quadrangles, but it's not worth the effort really.
The area that says Split or Keep vertex order is important for PC character models. By splitting it will make seperate objects for each changable group. This is ow the models change with your armor. The good thing about that is those groups can be joined into one object and change out for different characters and clothing just like in the game. If you unselect splitting you will get one object with all the parts together. For Anduin he automatically comes in as one object because he doesn't have individual pieces.
Here's what he looks like after import, it's kinda funky.

Part 3: Cleanup
I'm not sure if this is Blizzard's model design or an artifact of the export import process, but when you import a model, all the polygons are seperate. None of them are connected. This cna produce nasty edges and does not play well wiith subdivision surfaces. We cna fix this by using the remove doubles function. This fucntion merges verticies that are in the same spacial location. To get to this use the toolshelf on the left or press "W" for the special menu. Make sure you enter edit mode by pressign "TAB" first, and select all the verticies by pressing "A" until it's all highlighted.

After doing thsi the surface will have strange dark spots. This is the Normals misbehaving. Normals tell the camea which way is out. (Really simple way of describing that...) We need to recalculate the normals so they all face outward. First we have to put the origin at the center of the model. The Origin is point 0,0,0 in the local space of a model. Press "SHIFT" "CTRL" "ALT" "C" and select select Origin to Geometry. This will place the origin in the center of the model. This will help the normals find their way "Out".

Now we recalculate the normals. This can be done form the tool shelf on the left or by pressing "CTRL" "N".

After this, I apply a Subdivision Surface Modifier. Use the tabs on the right to ge to the modifer stack, and select new, and Subdivision surface.

After this I placed my camera and a light and did a little render by pressing "F12".

And there's a nice smooth ready to rig Anduin Wrynn.
I'll do another tutorial on getting a PC in soon. There's some funky stuff with textures on helmets and shoulder models. I'll also do one of props (Like the ship).
I do recommend doing some beginner tutorials for blender before diving head first. Belnder's interface has become easier but it's still not like maya or max with their streamlining.
Some models don't select all of the model. The pandaren monk doesn't select teh hat or bottle, for example. How do you fix that?