Ulduar is a Titan base. The Titans need their own post, but for now just think of them as the creators. They essentially seeded the world with life and built a lot of things where they did their work and whatever else it is that world creators do.
Other bases of the Titans can be found on Azeroth with Uldaman and Uldum. Uldaman is a fully fleshed out instance in the Badlands. It is probably a Titan vault where they stored artifacts such as the Discs of Norgannon. Apparently it is also where the Titans stored their failed living creations, Troggs, which were released on Azeroth when Uldaman was excavated. Uldum has not been put into the game yet in any explorable form, but the entrance is located in Tanaris, and there is a quest line that informs us it is a research facility for the Titans.
So Uldaman is a vault, and Uldum is a Titan lab, what does that make Ulduar? First of all, Ulduar is huge. Much much bigger than the other places. In game terms it encompasses Halls of Stone, Halls of Lightning, and the raid, Ulduar. Because of this, many consider Ulduar to be a Titan CITY. A place where the Titans lived while on Azeroth. Quests in the game seem to confirm this. However, the official Blizzard release on Ulduar puts it pretty plainly.
Ulduar is a prison.
Yep, the central purpose of Ulduar, at least the raid section, is to house Yogg-Saron, the Old God of Death. I'll talk more about who Yogg-Saron is and why he's imprisoned here later. The short story is that the Titans couldn't kill him, because that would have lasting effects on Azeroth, so they imprisoned him instead, and placed watchers, or keepers over him to make sure things stayed that way. This is where Freya, Mimiron, Thorim, and Hodir come into it. They are stationed by the Titans to keep Yogg-Saron where he is. But something has gone wrong.
And what went wrong, is Loken. You may have heard of this guy if you've done anything in the Storm Peaks zone. Essentially, the Titans placed him in charge of everything that was going on in Ulduar when they left. Somehow, Yogg-Saron found a way from within his prison to corrupt Loken. Loken then went on to bring all of the other keepers within Yogg-Saron's control, and set the stage for us as adventurers to go in and clean things up. Now Loken is the end boss of the Halls of Lightning. When you kill him, he announces that the end of the world is heralded by his death, and he's right.
This plays into the hard mode of Ulduar. With Loken's Death, Algalon the Observer is sent to Ulduar to determine if all is well. If it is, no harm done, if it isn't, bye bye Azeroth. But again, I'm getting ahead of myself.
So what do we know? We know Ulduar was a prison build for Yogg-Saron. We know that the keepers and other bosses in Ulduar were originally there to watch over the old god's prison and maintain it so that the world would never have to deal with him. We know they failed and that Yogg-Saron has become unchained and is seeking to do what he does best. Kill everything. Now it's our job to go in there, free the keepers from the corruption and put an end to Yogg-Saron's wanton destruction of Azeroth. But even after that's all done, we still have to convince Algalon that this world is worth saving. That yeah, Loken screwed up, buy hey, we're here now and it's all okay.
I'll expound more on each of the bosses in a later post and flesh out a lot of the things that are going on in Ulduar. Like why are there so many Iron Dwarves? Does Kologarn have feet? (Hint: Yes) And why is there a crazy cat lady walking around an open pit with a female Vry-kul hovering in the middle? And then I'll talk about the really crazy stuff.