Please explain choosing servers for MMORPGs

I hope I have the acronym right. I don’t play these (but damn, if only I had a computer that could run Warhammer 40K), but I’ve looked at the sites and seen that the choice of server is apparently one of the most important to make.

I’m guessing that the multiple servers are necessary to keep the lagtime down (both bandwidth and processing). How does one choose a server? Just find the one with most free spaces if you want your friends to come along? Are they often segretated by skill level, connection speed, etc.?

A related question, on these online games, how much (and what) data is going to/coming from the server? I would guess that it’s really only things like status of participants and their positions - all the rendering would be done on the individual computers rather than on the server.

My choice of server for EQ and EQ II was pretty much dictated by my RL friends I went where they went.