Some basic stuff first... imps don't need a Soul Shard to summon, so it's great for lazy Warlocks. It also has a basic Firebolt that you'll need to set to auto-cast because that's pretty much all it can do once you've toggled it to attack. Firebolt was nerfed to a 2.5 second cast -- up from 2 -- but there are a lot of talents that pump up the imp's DPS (including the silly Demonic Power which brings back Firebolt's casting time to the original 2). It also provides a couple of group buffs -- the Fire Shield, which is kind of like a Druid's Thorns but with a Fire Resistance bonus; and Blood Pact, a Stamina buff that used to get a Warlock grouped with the tank. Blood Pact has been changed to grant a health bonus, rather than Stamina, so it will no longer stack with Commanding Shout.
Finally, an imp can Phase Shift, a sort of self-Banish that only breaks when the imp attacks. A Phase Shifted imp used to be standard for Affliction Warlocks with Dark Pact, because of the imp's high mana pool and monstrous regeneration rate. That's all set to change in Wrath, however, with the improvements to the Felhunter. The imp blows things up, that's kind of its nature, so in Wrath of the Lich King, if you're a Warlock that likes to blow things up, the imp is the demon that blows things up right with you.
The main reason for this is the Destruction talent Empowered Imp, a three-point talent deep in the tree that grants the Warlock a 20% bonus to critical hit chance on her next spell every time the imp crits with an attack. It used to be a 100% bonus, but it was just too obscene. This talent necessitates that the imp attacks, so a Destro lock may as well take points in Improved Imp for stronger Firebolts. Unfortunately, Empowered Imp is too deep into Destruction, requiring 40 points, that it's impossible to pair it with Demonic Empowerment, which requires 30. There's also Unholy Power if you really want to pump up your imp's DPS.
Master Demonologist has been revised to grant a bonus to crit and damage for Fire spells when the imp is out, as opposed to the threat reduction on live realms. While that translates to about the same thing now that threat has been rolled into tanks, Demonic Sacrifice has meanwhile been nerfed to a 10% Fire damage increase, down from 15%. More than other pets, an imp benefits greatly from Demonic Tactics and Improved Demonic Tactics when used for DPS as the imp is the highest burst DPS pet in a Warlock's arsenal. The only real tragedy is that Empowered Imp is simply too deep into Destruction to benefit from either Demonology talent.
With the changes to abilities such as Blood Pact, raid-wide buffs, talents like Empowered Imp and revisions to the Felhunter, it seems as though Blizzard is pushing the imp as a raw DPS pet as opposed to the common strategy of keeping him Phase Shifted for passive effects. I know the buffed 200% mana regeneration makes it extremely attractive as a mana battery for Dark Pact, but the new Felhunter (which is currently borked in Beta...) gives much better returns overall for Affliction. Phase Shift seems to be geared as a failsafe for the fragile imp, even with its Wrath-buffed health and armor, as well as the helpful Avoidance. With all the DPS it's going to put out in Wrath, you won't be the only one who'll get irritated by this snarky firecracker.