i've never played a wow private server... but yes i did play some others.
One thing is that you cannot just trust anybody that says they played a game private server.
The first thing is that for a private server to be there, you need to hack into the game and get the source code out, and you make a copy without some of the features. That means if you had the source code of wow, and you changed around with the paying part and everything then you would be able to play it.
Many games do not have a private server, and some are just ID/password scams. One game that is currently known for 90% of the players to play on a private server is ragnarok online from cloudphobeia (i think that is how you spell it)
You can't just make a private server in a blink- you would need the source.
Now how it feels about playing on a private server? it feels more like cheating rather than playing.
Private servers can always be modded so you can have a 10 times faster level up rate and you know- if the person that controls the private server chooses to edit something, then it becomes edited.
That's basically it.