Textures, models, etc, all come from the client.
The server only sends and receives packet information - that is, general network communication containing integers, floats, and sometimes strings.
The server stores a low definition version of the game in order to verify line of sight data, pathfinding, etc. It also stores DBC information which contains data that the server uses to make calculations and verify the client is acting correctly.
If you want to get into modifying the client, see here:
Modcraft - The community dedicated to quality WoW modding! - Index page