FWIW for speed, symlinking the cache directory is the only one that matters.

Symlinking data I believe only really matters so you don't have to update your WoW installations more than once, but the cache directory is what gets loaded/utilized when you enter places like shattrath - having this symlinked will save your hard drive reads a TON - once I symlinked cache I noticed that my HD would only peg for about 15 seconds after loading shatt, instead of the normal minute or so.