You've lost your account, and with it all that is happiness in this world. Someone has stolen your one and only joy, and now the world is a dark, meaningless place. But don't worry, together we shall see about restoring the light, the hope, to your world!

Step 1. Dispatching the goons
This creepy villainous character has not been doing his heinous work alone. He has dispatched his trusty but very, very ugly servants, the viruses.

A compromised account is always compromised because someone who shouldn't has the password. One way to get it is to plant a keylogger on your computer that reads the keys you type, and sends them off to someone shifty. If you recover your account but still have this on your system, this will just happen again. Therefore, the first step is always to clear any keyloggers or other viruses from your computer.

One of the following threads should be of use to you in this endeavour:
[Guide] How to CLEAN your PC from Keyloggers
[Guide] How to CLEAN your MAC from Keyloggers

Step 2. Secure the communication lines
Sometimes the villain has not taken the direct approach. He may have been waiting for your courier, ambushing him and intercepting your communications. Is this how he got in? Is that really your courier?

Another problem with keyloggers is that they don't just log your WoW keys. If you have one, your e-mail account may also have been compromised. If you can't access it, or there are obvious signs someone's been using it without your authorisation, you will need to contact your e-mail provider and report the problem to them. However, even if you can access your e-mail and there are no obvious signs of misuse, it may still be compromised, as a smart hacker will remove any clues to his presence. If you can access your e-mail account, changing the password for that is usually enough to secure it.

Step 3. Early recovery
This may be your shot at getting back up! The villain has left himself open to strike - quickly, take action!

If you do have access to your e-mail account, you may have a shot at getting your account back right away. Note that if an authenticator has been added to your account that isn't yours, this won't help you. Follow this link to recover your password:
battle.net password recovery

Note that even if this option works for you, your account may have taken some damage. To get help with this, open an in-game ticket. Note that your account has been compromised but you have recovered it, but that you've had losses you need help recovering from. Once a game master reaches your ticket, it should be investigated and any items or characters you've lost should be restored. If anything is still missing feel free to open another ticket and say what the original game master missed.

Step 4. Invoke higher powers!
Everything seems lost. The villain has stolen your happiness. You've dispatched his goons, but couldn't get to him. You've caught his mole, but it was too late. You even took a swing at him, but you missed. But there is still hope!

Even though there's an authenticator on your account that you didn't put there, you can still recover it. Follow this link:
Blizzard Support webform

Select "World of Warcraft", "Account Security / Compromise / Hacked" (second option), your realm language, and then your realm. If you play on several realms, select the one with your main character, or a character you play a lot. Fill in the requested information in the fields, make sure to fill it in as you registered the account. Note that the CD key requested is the one for the basic (or vanilla, or classic) game - you can't use the key for either expansion.

As noted on the form page, if you don't have both the CD key and the answer to your secret question, you can instead supply a scan or photo of a government-issued ID instead. Note that if you do this, the name on the ID must match the one on your account - if the account is in someone else's name, they will need to recover the account as it is officially theirs.

If you need more assistance with this step, here's another guide:
Webform Guide - Compromised Accounts

Step 5. Profit!
Jubilations! Happiness has been restored, the villain has been caught! But one thing remains - make sure you are safe from getting caught up in the machinations of this villain once again!

Once you've sent that webform, Blizzard should restore the account to your possession. At this point, all you have to do is take a few steps to ensure this doesn't happen again.

First, you should make yourself familiar with keeping your computer safe. Here comes another link where you can find more information about this:
Account Safety Tips.

Also, strongly recommended is the battle.net authenticator. You can either buy a physical authenticator at the Blizzard store (€6,99 with free shipping to most locations), or download one for your mobile phone for free:
battle.net Authenticator at the Blizzard store
blizzard.com mobile applications

Good luck