Was contemplating making a similar thread, but since you beat me to it, I guess I'll just post here.
I feel like I'm in a movie, yeah. Not just because a lot of the zones are references to movies, but also because of the style they made the quest chains in. You're not just a grunt passing by and killing a dozen murlocs for the heck of it, you're there for a reason. You feel more... included in the game.
It has its drawbacks, of course (I wouldn't be Debbie Downer if I didn't mention it), but overall I like it. Gives a purpose to leveling when you see zones change as you complete the various quests.
As for references, yeah, Uldum gave me that
Indiana Jones and the Last Crusade vibe from before I even met Harrison Jones.
I also loved the Worgen starting zone. It had that London-ish feel to it. Like an old Jekyll and Hyde or Sherlock Holmes movie.