There are two Games Workshop characters called Wurrzag.
The first is Wurrzag Da Great Green Prophet AKA Great Shaman of the Bone Nose Tribe, a major Warhammer Fantasy character from the Orcs & Goblins army and the only Savage Orcs named character; he is the prophet of Gork and Mork (or is it Mork and Gork?) who seeks to find the champion of all Orcdom and prophesied Warboss of all greenskins to bring about the end of the world. He also never fucking stops dancing.
Kicked out of his tribe by the jealous former Shaman, Wizzbang, Wurrzag wandered for years and was mysteriously protected from the savage monsters that abounded in the jungle. All that changed when he discovered an ancient mask, receiving a vision from Mork that he was to seek out Da Once 'n' Future Git, the prophesied champion who would lead the Orcs to dominance over the world. Wurrzag promptly returned to his tribe, turned Wizzbang into a pet Squig (by mistake apparently), and set off on his quest. He was later given a savage boar as a gift from another tribe during his journeys.
He randomly appears anywhere Orcs and/or Goblins are located, and is treated with the utmost respect that any greenskin is capable of showing. This respect is particular among his fellow Savage Orcs, since the Shaman is the center of Savage Orc life and provides them with their protections via color magic paint. Wurrzag, as the greatest Shaman who ever lived, is therefore the greatest Savage Orc who ever lived as well.
Wurrzag often receives visions from the twin gods, which cause him to fall into a catatonic state. Whether makin' Dropz, eating a Snotling (with said Snotling struggling in vain despite being half-chewed to escape from his teef), to surveying his current mini-WAAAGH. He interprets them how he will, and sets out to follow the path his gods set out for him.
Gork and Mork revealed that Wurrzag must seek two champions instead of one; Grimgor Ironhide for Gork's champion and Skarsnik for Mork's champion. He informed the two of their destinies, almost being killed and presumably cooked then eaten by Skragg The Slaughterer who refused to bow to a non-Ogre as the champion of the Great Maw (which was Grimgor) before being rescued by said champion (again, Grimgor was apparently the divine champion of Ogre Kingdoms), and dropped out of the story. Wurrzag's final fate is unknown since every OnG and Ogre character other than Grimgor drops out of the story after Skarsnik's triumph at the Eight Peaks (and Josh Reynolds only confirmed Skarsnik's death in the final battle but not Wurrzag's), so its possible he may have survived into Age of Sigmar. Although its been many years (thousands, millions, billions, its unspecified) since the end of the world, the lifespan for Orcs isn't well known; they don't tend to survive many years simply due to their lifestyle.
Wurrzag was announced as a free DLC that accompanied the release of the "The King & The Warlord" DLC with his own story and abilities designed around Savage Orc hordes. His missions involve visions from Gork and Mork, reclaiming his pet Squig/former mentor after it goes missing, and defeating a rival for his power (complete with a HERESY joke).
He obviously makes your Savage Orcs better, and in all likelihood his own army is one of the few times you'll use them in the game as they're not very good. He has a fantastic spell selection and is one of the best casters in the game period.
On Da Tabletop
Wurrzag has had various stats through various editions.
Wurrzag is the only Orc character to receive stats in his race's armybook for this edition, alongside Grimgor Ironhide. He uses up a Lord and a Hero slot, and has M4, WS3, BS3, S4, T5, W3, I2, A1 and LD8. He rides Spleenrippa, an orc boar with M7, WS3, BS0, S4, T4, W1, I2, A1 and LD3. He has the special rules of Frenzy and the following unique rules:
Mork's Favorite: Wurrzag is a level 4 Wizard who can generate his spells from either the Big Waaagh!, the Little Waaagh!, or both. He also adds +1 to his casting totals and cannot Miscast; a double 1 merely causes the spell to fail and Wizzbang to lose any stored power dice.
Tastes Bad: Enemy mounts and monsters halve their attacks (rounding down) if in base-contact with Wurrzag.
Bring Out Da Git: Wurrzag cannot be the army's General unless there are no other Heroes or Lords.
Shamanistic Rivalry: Roll a D6 for each Shaman or Great Shaman other than Wurrzag in your army before deployment; one a 1, they get turned into a squig and are lost, though you may increase a Squig Herd unit by +1 for each lost Shaman.
He wields the Bonewood Staff (magical hand weapon, plus holds a power level 4 bound spell that turns enemies into squigs), wears Blessed Warpaint (5+ Ward save) and carries the Baleful Mask (enchanted item, lets him use a free Gaze of Mork spell each magic phase) and Wizzbang the Power Squig (can store 2 unused Power dice in the end of a Magic phase and add them to his usual generated pile in the next magic phase).
Wurrzag's stats in this edition haven't changed from his 6e days, but he no longer rides Spleenrippa and is instead an infantry character. He's now a level 4 Savage Orc Great Shaman using spells from the Big Waaagh! and with the unique Hex of Wurrzag's Revenge, which turns enemy wizards into squigs. His special rules are reduced to just Choppas and Frenzy, and he still carries the Baleful Mask (now an enchanted item that unleashes Vindictive Gaze as a bound spell), the Bonewood Staff (magic weapon, grants Magic Resistance 3 and re-roll Miscast results), Blessed Warpaint (5+ Ward save) and Wizzbang the Power Squig (who now only stores one dice for later use).
Nazgrub Wurrzag hails from the lost world of Angelis Prime, the setting for 40k's gaiden game Gorkamorka. A crotchety old ork, Nazgrub is a member of the disreputable caste of ork scrap prospectors - orks too antisocial and/or greedy to run around bashing heads in a mob and who instead roam the desert, digging up scrap and hoping to make a huge haul of teef out of it when they get back to Mektown. Now, while Nazgrub certainly fits the bill of being antisocial and greedy, he's got another reason to avoid company. Whilst the orks of Angelis are too primitive to recognize it, Nazgrub is a wyrdboy - in a perhaps unintentional shout-out to his Fantasy namesake.
Needless to say, Nazgrub's not too fond of the headaches he gets from being around other orks, and other orks don't take too kindly to him wandering around spewing telekinetic bolts at random. Still, it gets lonely out there in the desert, and even a hermit needs to have a good duff-up every now and again, just to keep his hand in...
On Da Tabletop
As with all ork special characters in Gorkamorka, it costs 2d6 teef to recruit Nazgrub Wurrzag for a mission. He has M4, WS4, BS3, S3, T4, W2, I4, A1 and LD7. He wields a choppa, a kannon, and a knife, and wears a suit of flak armor. He has the character skills 'Ard As Nails, Loota, Sneak Off, and Gunboy. He adds +25 to your Mob Rating, and has three special rules, outlined below:
Scrap Fever: Nazgrub Hates any model who is either carrying a scrap counter or who is on a trukk that is carrying one or more scrap counters.
Thievin' Git: At the end of the battle, before determining income, roll a D6 for each scrap counter captured in the last fight. Every Scrap Counter you roll a 1 for is nicked by Nazgrub, meaning you get no teef for it.
Weirdo Powers: As a wyrdboy, Nazgrub has the special powers Knows Fings and Zapp!
Knows Fings: Before any battle against an ork mob or a diggamob, Nazgrub must take an LD test. If he succeeds on this test, then the mob he is with gets to make the roll on the Scenarios Table, otherwise, it's the enemy mob who makes the roll. This replaces the normal rules for determining who gets to make the Scenario Table Roll.
Zapp!: At the start of Nazgrub's shooting phrase, roll a D6 and deduct -1 both for each ork within 6" of Nazgrub and for each hand-to-hand combat within 6" of Nazgrub. On a 0 or less, Nazgrub loses control and vents a telekinetic blast. This replaces his normal shooting attack with his kannon and instead requires him to make an Ld test; if he passes, he can direct the telekinetic bolt like a normal shooting attack, otherwise, roll a Scatter dice to determine which random direction it goes blasting off in. The Zapp! attack travels 4d6" and hits the first model in its path, inflicting a hit with D6+1 Strength that does D3 Damage with a -2 save modifier. After launching a Zapp attack, Nazgrub himself takes a Strength D6 hit that ignores armor, representing the psychic strain of this attack.