Well there's a bit of a history to instances.

Back in the day instances were really quite an event, there was no dungeon finder, no list of what you could and couldn't do, you just sort of discovered them naturally in the game.

For example the lowest level Alliance instance was (and still is) Deadmines. You'd come across the 'Defias' gangsters in all their various forms from Westfall onwards, you'd be given the story behind them, have to kill a lot of them, go and track down a Defias courier to intercept their communications, all sorts of stuff. Eventually you'd start to get together a list of quests that'd be flagged as 'DUNGEON' in your quest log, and finally you'd be given a quest to retrieve the head of the major Defias dude.

Once you had all the quests stacked up and ready to go, (and getting 'ready' for an instance could literally take hours of questing), your task then was to put a group together, there was none of this cross-realm grouping or shit like that, you either had to get together with four other people you knew on your server to make a viable instance group (this is where guilds were invaluable), or you had to start asking out in the 'Looking For Group' channel in a city, you know - 'Making group for Deadmines, got healer and two DPS, need tank and one DPS' or whatever it was you had and needed.

Eventually you'd get your five intrepid adventurers together, and at least two of you would need to get to the summoning stone near Deadmines, and from there you could summon in the rest of the party.

Then, and only then, could you actually start the instance

And make no mistake, instances were fucking hard.

An instance group comprises of one tank, one healer, and three DPS. The enemies you face in instances generally consist of 'packs' of mobs, none of this killing one thing at a time stuff, and pretty much every single mob in an instance is Elite class (they have that gold crest thing around their level indicator). So whereas when you're out questing you might be killing one 'normal' level 16 mob at a time, in Deadmines you're going to get jumped by three-five 'Elite' level 16 mobs all at once. Elites generally having 5-6 times the health of a normal mob, a load of extra abilities, and hitting like trucks.

Instance roles:

TANK - (Warrior (Protection), Paladin (Protection), Druid (in bear form), Death Knight (Blood)) - Plate wearer melee class (except for bear druids who use 'natural' armour), the tank's job is get 'aggro' on all the mobs, that is, make everything want to hit him instead of the squishy healer or DPS guys. He doesn't do a massive amount of damage, but he soaks it up, and uses all his abilities to taunt/hit/enrage/interrupt/etc all the bad guys in the current 'pull' (a 'pull' is a group of enemies) so that the DPS can do their job. All the time the:

HEALER - (Priest (Holy or Discipline), Druid (in tree form), Paladin (Holy), Shaman (Restoration) - The healer keeps the tank alive, without constant heals from the healer, the tank will die in about five seconds flat. As soon as the tank dies, the mobs 'aggro' goes straight for everyone else, and they'll happily kill the average DPS or healer in about two seconds. (In some cases they'll literally 'one shot' them.) The healer chooses his heals situationally, as all his heals cost mana, and he only has so much mana before he runs out. The healer will also heal up DPS who get aggro, or stand in the shit, or just happen to be in a fight that includes AoE (area of effect) damage that hits everyone. The healer's task is also to dispel/cleanse/cure harmful diseases/spells/curses etc that enemy casters may inflict upon the party. Between them, the tank and healer enable the last class in an instance to do their job.

DPS (Damage) - Every class in the game has a spec that can do damage, some classes are 'pure' DPS and can do nothing else (mages and hunters for example) - The DPS guys are there to take out the bad guys before the healer runs out of mana and the tank dies. Because once the tank dies, it's all over. It's not just as simple as 'pew pew pew' though, each DPS class brings something to the party that they may be required to do. A mage may be asked to use his polymorph spell to 'sheep' an enemy for a minute of a fight to take a particularly dangerous caster out of action whilst the rest of the pack is killed, a hunter can use his traps to the same effect, or use his 'misdirect' ability to transfer aggro to the tank, a druid can hibernate an enemy beast for a minute etc. Mostly DPS use what are collectively referred to as 'crowd control' abilities to reduce the effectiveness of a 'pull', effectively removing one or more enemies from the 'pull' to make it easier to take the pack down.

If a pull goes badly wrong certain classes can temporarily step into a role, a DPS Paladin (Retribution) can chuck out a few heals for example if things are going badly wrong, a DPS Warrior (Arms or Fury) can off-tank a mob or two if aggro is badly split. A mage can 'control' a mob or two with frost nova for a few seconds, that sort of thing.

And this dynamic is maintained for EVERY SINGLE PULL throughout the entire instance. Then you've got the bosses, and they're another bowl of piranhas entirely, which generally require specific tactics from everyone to get past them.

I remember back when we ran instances a few years ago, we were all on Teamspeak, and we'd sometimes talk about a single pull for three or four minutes, discussing where to use crowd control, which mob was likely to start to run at low health and thus try to pull the next pack, who might need extra heals, all that shit. It was immensely challenging but I have to say it was very satisfying when you nailed it, some instances could take three or four hours to complete.

HOWEVER - the good news is that all this is largely in the past Instances have been massively nerfed over the years, and never more so than in Cataclysm, to the extent now that you only need some semblance of a competent group to get through them. Healers can generally heal through abominations of fuck-ups that in the past would have wiped the group harder than Charlie Sheen's girlfriends get punched in the face. Tanks don't even need to be properly tank geared, DPS can shoot at pretty much whatever they want and the healer can cope, it really takes a group of utter fucking retards to get wiped these days.

On top of that, you've got the dungeon finder which just takes you straight to the instance and probably drops a few of the quests into your lap as well. In short, just use the dungeon finder, and dive in, you really can't go too far wrong. On top of that, the item drops in dungeons are waaaayyyyy better than what you'll get out in the open world, even the 'greens' that drop in there are tasty, and each boss drops a 'blue' (i.e. superior quality), and the quest rewards will be blues as well.

For example, here's a quest reward drop that'd be nice for a mage out of Shadowfang Keep - http://www.wowhead.com/item=65910

And of course, once you're out of the dungeon, all your fancy new gear makes your job when questing and killing out by yourself again that much easier, because you've got more mana, your spells hit harder, you've got more health etc.

From 15-60 instances are largely a formality, Outland (Burning Crusade 60-70) ramps it up a bit, Wrath of the Lich King (70-80) ramps it up again, and Cataclysm dungeons (80+) are pretty tough, and then there are the Cataclysm heroics (85+, well geared Level 85 characters only need apply) which aren't quite as brutal as they were at the launch of the expansion (there have been a couple of new tiers of gear since then), but can still wipe an incompetent group in the blink of an eye.

A really good example of a complex 'old-fashioned' pull is in an instance called Throne of the Tides, on heroic 85 level there's a pull that consists of two healer mobs, one caster mob, and two melee mobs. The healers are absolutely ferocious, and will constantly cast massive heals on themselves and their friends. They're so good at this that without crowd control, the pull is literally is impossible, as the goody DPS guys simply can't out-DPS the baddies' heals, so it's basically a stalemate until the goody healer runs out of mana and the tank gets squashed.

If you only crowd control one of the healers, and don't kill the other healer quickly enough, he will cast something called 'rally' that will break the crowd control on his chum, who'll immediately join back in and start healing everyone.

The way to handle this pull is to crowd control BOTH healers (a mage's sheep and a hunter's ice trap for example), and target the caster as the main pull attack target (casters are generally very high damage but low health, a bit like mages), once he's dead kill the melee mobs, then break the crowd control on one healer, kill him, break the crowd control on the other and kill him, pull completed.

Crowd control doesn't last for an infinite amount of time though, so if you don't get the job done in about 60 seconds, the crowd control guy may have to break off from DPS for a few seconds to reapply his crowd control.

All the 'olde worlde' dungeons are listed here - http://www.wowhead.com/zones=2.0#0+2+1

So you can read ahead on what the bosses are, what drops you can look forward to, what quests you might want to pick up ahead of going in there, all that stuff.

Just have a go, stick yourself in the dungeon finder and have a crack. The worst that can happen is you're so crap the group votekicks you out