The closest auction house for an undead is going to be in Orgrimmar. You will take the zepplin from just south of Brill over to Orgrimmar. After getting off the zepplin, you will run northish and you will see the front gates of Orgrimmar. Head in the main enterance and it will be on the right hand side after you enter the first open area, just to the right of the bank.
The only other two auction houses are in Ironforge and Booty Bay (Booty Bay is almost ALWAYS dead, even more so on the PvP server)
Edited, Thu Nov 4 17:07:34 2004 by MightyMage