I have had pretty good luck in Ferales, Desolace, Tanaris, Searing Gorge, Badlands, and Stranglethorn Vale. You can check out MapWow or use Alla's search feature on the left of this page.
I prefer riding the edges of Tanaris for mithril. I paid back my first level 40 toon's loan for his mount that way. When your toon gains a few more levels I suggest the Hinterlands. The northeastern part of that zone tends to also have some truesilver and thorium.