It was built on the summit of the relocated Forlorn Ridge in western Azshara, northeast of Talrendis Point. The Bilgewater goblins moved the mountain in order to strip mine its minerals. The palace has an ocean view, grenade golf course, a secret booze cellar, a luxury pool, and a sauna. The booze cellar is not seen in the game.
Gallywix is aboard The Banshee's Wail in Zuldazar.
There's an easy way for low-level characters to get into the Pleasure Palace. Go along the elevated roadway that starts in the Secret Lab and runs to the east of Gallywix Pleasure Palace. Jump off at the lighted station near Gallywix and let the local creatures kill you.
Getting There Alliance: From Forest Song in Ashenvale, follow the road east into Azshara. The Alliance outpost Talrendis Point is just over the river. Horde: From Orgrimmar, go northeast through the Orgrimmar Rear Gate. Alternatively, from Splintertree Post in Ashenvale, travel along the road east into Azshara.