When solo, the Felguard makes a great tank, although it loses out to the Voidwalker in terms of armor and health. However, Anguish and a higher DPS makes it generate more threat, allowing it to hold aggro better. Having Demonic Frenzy means that the Felguard gets stronger and stronger (up to 50%) with each damaging attack, and Cleave is a basic attack that can hit multiple opponents -- although care needs to be taken when used in PvE as Cleave can break crowd control. You should key bind Intercept as it can interrupt spellcasting, although it has a minimum 8 yard range so stunning its current target can sometimes be tricky. Think of a Felguard as Warrior lite.
There's the basic Fel Vitality, a mandatory talent for deep Demonology. Then there's Unholy Power for that 20% DPS boost, and of course Master Demonologist which I think benefits Felguard Warlocks the most. This was buffed in Wrath to reduce all damage taken by 5% instead of higher resistances. A Felguard has a pitiful mana pool, so leaving Cleave on auto, specially with Anguish, will deplete the demon's mana pool quickly, making it pretty useless for a while. This makes it imperative to take Mana Feed. It's a great talent to begin with, but with a Felguard it's mandatory.
In Wrath, we get a few talents that should help the Felguard, such as Fel Synergy, greatly reducing the downtime that usually happens when we use the Felguard to grind. So you can save those bandages for yourself now. There's the DPS increasing, Bestial Wrath-like Demonic Empowerment, although the haste would've been better as a crit bonus considering Demonic Pact and Demonic Empathy.
Overall, the Felguard gains very little in Wrath of the Lich King, other than the fact that it plays a more vital role in DPS synergy with the Warlock. Perhaps the most glaring absence in Wrath is an Improved Felguard talent. All the other pets have them, why not the Demonology pet?