There's only 3 times when you get a loading screen in WOW:
1) Logging on with a character (obvious)
2) Switching continents from Kalimdor to the Eastern Kingdoms
3) Entering an instanced dungeon
That said, you can definitely tell where one "zone" ends and another starts... not that there's loading, just that the terrain changes are a bit abrupt in most places. As far as exploring goes, well, they don't have everything opened up in the beta yet (and they aren't going to unlock every area, either) but you can explore to your heart's content as long as you can avoid roaming monsters. Sticking to roads doesn't really let you explore every are but it keeps you generally free of any roaming guys. Also the map system in the game rewards exploring; the map for an area is completely fogged out until you explore enough to "discover" areas (which also gives you an exp bonus relative to your level and the level of the area), at which point they're lit up and you can mouse over them on the map screen. There's no way to buy maps for an area, either, but most quests will give you an idea of the direction to head in.
As far as terrain you can explore goes, you can walk on almost any ground surface, including stuff like lava (you just take damage while walking on it, which actually needs to be scaled up so it's more impressive), but it's hard to climb a lot of mountains, and you can't scale every cliff you see. Water travel is different. You can't swim out too far; if you're far enough away from land (actually determined by how far down in the water you'd have to go to touch ground) you get "fatigued" and die, so it's virtually impossible to swim across most seas, much less the ocean dividing the 2 continents. You can, however, jump off the boats and zeppelins that travel between the continents to explore areas you couldn't reach by swimming... although as far as I've seen there's nothing really there yet (I'm personally hoping they make Pandaria available this way). Also the retail version of the game isn't going to have the Northrend continent of the Warcraft world, and likely won't have any other worlds like Outland beyond the 2 main continents. The 2 continents in-game now are huge, though... I've been all over the world in WOW (at least the parts that aren't locked off) and it feels massive, even with spells that can let me transport from anywhere to my "home" spot or mounts that increase movement speed by 60%.
I'm big on exploring, and while WOW isn't heavy on exploration, I think what they have is enough to make it personally satisfying even if it isn't going to be that game changing for other people.
