The FAQ doesn't say you can play without a server, it says you can play without having to setup a server:
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Can I play EQEmu without setting up a server?
Yes. If you only want to play the game, you don't have to run a server.
This means, you can play on servers that other people run as long as you have an internet connection to connect to them. You don't have to worry much about losing items or progress as long as you are playing on one of the more stable servers such as the gold or green status ones. They have all been around for quite a while and will probably be around for quite a while from now.
If you want to play without an internet connection, then you will need to setup a server yourself on the PC you are playing on or on another PC on your same home network (LAN). You don't need to spend a bunch of money to run a server, as most PCs these days can easily handle running a server and playing EQ on the same PC at the same time without an issue.