As Khat said, this is normal. You must account for the inherent latency, which is effectively TWICE the latency you have to deal with on one toon. Think of it like this:

--> You press key. Key gets sent to WoW server.
<-- WoW server processes key and sends confirmation and updates game data. Client reacts to server-side game updates and adjusts rendering to show new status.
--> Second client sees main client move. Starts following main char and sends movement to server.
<-- Server confirms movement and other data and sends back to second client. Client reacts to server-side game updates and adjusts rendering to show new status.

Double latency. Not too bad when you're out in the world in a relatively low-pop area and have 10ms pings to the server. In Dalaran or in an instance on a badly lagging instance cluster? Sucks BALLS.