wow having zero loading screens (apart from dungeons and continents) was a major technical feat in 2004 with the shitty HDDs we had then and it's still really impressive even today.
blizzard used clever world design like those zigzag gates in orgrimmar and ironforge as well as hills and terrain between zones to disguise areas being loaded in the background
it's kind of lost now in retail because you're constantly going in and out of dungeons and continents but you can really appreciate it in classic