The very first thing you should do in WotLK is roll a Death Knight and do the Death Knight starting questline.
The DK starting questline is like a prologue or introduction to the expansion. It sets up a couple of very interesting storylines to be revealed in the expansion. After you finish the questline, you can switch back to your main character or continue with the Deathknight as you please.
I'm not really impressed with the Deathknight class itself (I'll probably expand on this in a later post), but I strongly suggest you do the DK quests first before heading to Northrend.