Orgrimmar is the only Horde city outside of Pandaria with a gear transmogrifier, void storage and gear re-forger, all of which are necessary to customize your character's look, store items that won't fit in your bank or optimize your gear's stats. Undercity lacks these perks, making it a lackluster home for both novice and veteran players. Getting from Undercity to Orgrimmar in a hurry is pretty easy -- just be a mage or friends with one, or fly the friendly skies.
The absolute fastest way out of Undercity is to use a mage teleport or a portal. If you're playing a mage, it's as easy as casting "Teleport: Orgrimmar" -- assuming you learned that spell from the Orgrimmar portal trainer. If you aren't a mage, you can pay a mage to send you there using "Portal: Orgrimmar." This is where having a mage friend or guild member can really pay off, especially if they're willing to do it for free.
Undercity is located under the Ruins of Lordaeron, a ruined city located near a pair of hilltop zeppelin towers. The one closest to the gate into the Ruins is the zeppelin that'll take you to Orgrimmar. You may have to wait for the zeppelin to arrive, but they generally pass through every five minutes. Make sure you've got the right zeppelin; the wrong one will take you completely out of the way. You can identify the Orgrimmar zeppelin platform by its flags, which bear the Orgrimmar crest.