The Eastern Kingdoms is home to many of Azeroth's Alliance races and two belonging to the Horde, but it can become repetitive unless you're content to grind up a dwarf or blood elf. It also can be a terrible place to fight over profession materials with other players. Crossing over to Kalimdor for a change of pace or new challenges is easy, so long as you know where to go.
Alliance: Stormwind City Harbor and Menethil Harbor
Alliance players can easily escape Eastern Kingdoms by traveling to Stormwind harbor. A boat makes round-the-clock trips from Stormwind to Darnassus in Kalimdor. The pier for this ship is the closest one to the gate from Cathedral District, and easily distinguished from the Northrend vessel; it looks like a regular sailing ship and lacks the steam-powered paddle wheels and ornate eagle figurehead of the Northrend boat. If the boat isn't there when you arrive, just wait -- boats come and and go about every five minutes, and allow plenty of time for players to board. You can also catch a ride from Menethil Harbor in Wetlands to Theramore Isle, although if you've completed the Theramore scenario, you'll arrive at a smoking crater.
Horde: Undercity Zeppelin
Horde players stuck in Eastern Kingdoms will have to travel to Undercity in order to reach Kalimdor. Just outside the ruins of Lordaeron, which serves as the entrance to Undercity, there are a pair of hilltop zeppelin towers. These provide transport to Kalimdor and Northrend. The tower nearest the Ruins of Lordaeron will take you to Orgrimmar in Kalimdor. Much like the boats in Stormwind, the zeppelins come and go roughly every five minutes. You can also tell the Kalimdor zeppelin from the Northrend one by its front end; the Kalimdor zeppelin has a sailing ship-style front end, while the Northrend one features a bladed battering ram.
Both Factions: Booty Bay
If you happen to be visiting the Cape of Stranglethorn, you can catch a ride to Kalimdor from Booty Bay, the Goblin-run pirate paradise. Booty Bay has a boat that heads to Ratchet, a town on the coast of Southern Barrens in Kalimdor. Be careful, though -- many players will farm Booty Bay for reputation with the Bloodsail Buccaneers, slaughtering every guard and NPC they come across. Be careful to avoid being caught in the crossfire.
Druids: Teleport to Moonglade
Druid players can get to Kalimdor using the spell "Teleport: Moonglade," which takes them to the Moonglade zone in Kalimdor. The downside to using this spell is that Moonglade only has one flight point and doesn't feature a lot to do. Make sure you have some connecting flight points or a Flight Master's License before you try this one -- it's a long ride to pretty much everywhere.
Mages: Teleport to Any Kalimdor Capital
At Level 17, Mages gain the ability to learn teleport spells, such as "Teleport: Stormwind" or "Teleport: Orgrimmar." These spells transport them directly to the specified city. Alliance mages can use "Teleport: Exodar," "Teleport: Darnassus" or "Teleport: Theramore" to get to Kalimdor, while Horde mages can use "Teleport: Orgrimmar," "Teleport: Thunder Bluff" and "Teleport: Stonard." Mages also learn spells which enable them to summon portals that everyone in their party can use. The destinations are all the same, with corresponding names like "Portal: Orgrimmar."