I am the exact opposite, I prefer playing only one character. The funny thing is, that I too love the leveling process more than end game. That's why I love it when a new expansion comes out, because I get to level up Erethas again.
In any case though, I am trying to level an orc too to experience the horde quests. I also leveled every class to level 10-20, to get a feel of their game play. But that's all.