For a game like WoW, account selling is expressly forbidden by the EULA, and will result in a ban if discovered by Blizzard. This ban would extend to both the seller and the buyer, if both can be identified. Account selling thus represents a significant risk to both parties involved.
Having said that, part of me disagrees with Blizzard about this policy and its enforcement. If there is a demand from buyers for high level accounts, and people willing to sell them, I don't see why Blizzard should care. People spend huge amounts of money on things with no intrinsic value simply because they want them; why should a game character be any different?
On the other hand, when I was playing WoW, I really hated running dungeons and raids with purchased characters. Their gear/achievements looked the part, but it became clear very quickly that they had no clue how to play their characters at the level of their gear. Sometimes, therefore, account selling does have some (albeit usually minor) consequences for players other than the buyer and seller.