In Warcraft, they ruled Azeroth. Then, a new Pantheon cof Gods cut in, and banned them from the world, sealing them in a plane of their own. It was their prison, and they yearned to escape. Now, every time they are summoned, they yearn to return "home" to the elemental plane.
The Elemental Plane is basically the elemental foundation of the plane we play on. Each plane is a layer of the universe, and are stacked. The elemental plane doesn't nessessarily form like our universe as we see it, but is unknown, as no one has been there before. However, it most definitly supports the elemental bases of the world. If something goes horribl wrong in their plane, it goes cataclysmic in the plane we occupy, and vice versa, if things are knocked out of balance. (such as one element taking over, and becoming dominant to all others)
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Penguins aren't elementals...