Pretty much everybody should learn First Aid. I mean, I've got a resto Druid buddy that I can't blame for neglecting his bandages, but then again that might just be because he sends me all of his excess cloth. And if you were to make a chart of which classes benefit the most from First Aid, Warlocks would be right up near the top. We do have quite a bit more self healing than Warriors do, but we also Life Tap a tad more than they Bloodrage.
The only downside to First Aid I can think of is that it makes leveling Tailoring rather frustrating. Personally, I never train my bandages through a type of cloth, until I've finished using that cloth for my Tailoring. Even so, First Aid isn't something you want to neglect, lest you find yourself without recourse when you're at low health with a mob that's immune to life draining effects bearing down on you.
Both in real life, and in WoW, I've got a real passion for cooking. In real life, the calculations are pretty simple. I like eating a steak marinaded in cranberry sauce, with some steamed broccoli and a macaroni salad on the side, with home made cookies for desert. It's certainly preferable to the ramen all the other college kids are eating. But I honestly don't know what so attracted me to cooking in the game.
Whatever it is that initially attracted me, however, I'm glad I took the time to raise my cooking skill all the way up. Being able to make my own statfood, or use the meat I find to make a profit on the AH is well worth the time it takes to level the profession. In particular, I found cooking helpful while leveling in Northrend, where meat dropped so plentifully that I easily kept my statfood buffs up all the way from 70 to 80.
If somebody asked me what my one regret is about the time I've played World of Warcraft...it would probably be that I missed out on 40-man raids. If I was asked what my second biggest regret was, though, it would definitely be that I didn't skill-up my fishing more diligently while I was leveling. Every so often I try to spend some time getting a few more points in it, but I swear there's some vindictive GM who keeps secretly resetting my fishing skill to 150.
Long term, the usefulness of fishing directly correlates to the usefulness of cooking for Warlocks. Reagents which can only be acquired by fishing are often used in cooking recipes that are as good, or better, than similar recipes which use non-fishing reagents.
The classic set up for making money quickly is to level a character with Skinning, and either Herbalism or Mining. The idea is to gather up as many materials as you can, and sell them on the AH for massive profits. I've never been a huge fan of this method myself, but I've also got less than 500 gold on my main at the moment.
Aside from money making strategies, Skinning doesn't really sync up well with Warlocks. The crit bonus is certainly nice, but aside from a very small handful of scenarios, a Warlock is probably never going to have much of a use for leather other than as an item to sell.
Herbalism & Mining
If the aforementioned method of making cash while you level appeals to you, then you've got to decide between one of these two gathering professions. Personally, I would think about what profession I would most likely replace skinning with if I decided to drop it later on. If I thought I might replace it with Inscription or Alchemy, then I'd go with Herbalism to compliment those in the future. Same goes for mining if I thought Jewelcrafting would be my future profession of choice.
Amusingly, both of these professions synergize well with Life Tap. Herbalism gives you a little self-heal, which will help in recovering from an LT, and Mining provides a bit of extra stamina, which will help mitigate an LT.
Alchemy is one of those interesting catch-all professions. Everybody in the game benefits from what it produces, so it's a perfectly valid profession for any class. Some of the perks Alchemists get, such as Mixology, and the Crazy Alchemist's Potion are great, though personally I find them a bit lackluster in comparison with some of the perks provided by other professions.
One thing to consider before leveling alchemy is that as a Warlock, one can create healthstones, which makes the need for health potions somewhat less pressing. But there are a lot of other types of consumables Alchemists can create, so it's really a matter of taste.
If I was trying to twink out every aspect of a max level Warlock, I'd probably make one of their professions Jewelcrafting. Jewler's Gems such as Runed Dragon's Eye are a fantastic little benefit, even if you only get to use three of them at a time. The profession seems to be relatively profitable as well, assuming you've got a cheap source of mats--be it Mining, or a friend/alt who mines. And leveling with Jewelcrafting can really help buff up your character, since most of the best rings and neck pieces available to low level players are made with Jewelcrafting.
I love tailoring. My 'lock has been sewing his own robes since level 10--and things have only gotten better. With the various re-itemizations that Blizzard has enacted in the past couple years, tailoring gear is some of the easiest, and best gear you can get your hands on at lower levels. It's actually got spellpower on it! Back in my day, I didn't see any spellpower on gear until I got the pattern for Robe of the Void.
Unfortunately, as great as tailoring gear is these days, there seems to be very little point left in actually being a tailor. Sure my leg enchants are cheap, and Frostweave Cloth drops more frequently for me, but that's about it. All the gear I can make is BoE, so it seems like I might as well have a profession that makes a lot of money, and just buy gear from other tailors. I'd never do that of course, because I've invested way too much effort in grabbing every tailoring pattern I can find, but if I was starting over again knowing what I know now, I might not choose to be a tailor.
Still, somebody's gotta do it, and I actually find it to be rather fun as professions go. If tailoring appeals to you, by all means, go for it!
Inscription is a fun profession to play and to level, though prior to level 80 it doesn't really offer much to a Warlock. Obviously every sever has a drastically different economy, but I don't imagine that low-level glyphs on any server are going to be anything but dirt-cheap. So it's not like you're going to gain any great unique benefits early on. A Scroll of Recall can certainly be handy, and if you're also trying to level enchanting, the ability to make your own Armor Vellums can be a huge help, but other than that, this profession doesn't offer a whole lot during the leveling process.
Once you get to level 80, though, you can gain access to the scribe-only shoulder enchants. The DPS caster version is leaps and bounds better than anything you can get from the Sons of Hodir, and cheaper too!
Enchanting would be my second choice, after Jewelcrafting, if I was trying to twink out a max level Warlock. The ability to enchant your own stuff on demand is heavenly, as vellums still haven't made enchants easy to find, at least on my server. I recently needed to find an enchanter with Crusader for one of my low level characters, and after thirty minutes of searching I had a whole new appreciation for being able to enchant my own items. Furthermore, the enchanter-only ring enchants are very nearly as much of a boost to your stats as Jewler's Gems are.
One issue with enchanting is that it can be hard to level with. There are times, particularly near the end of vanilla WoW content, where gathering mats can be torture. At the same time though, being able to quest in fully enchanted gear all the way through your leveling can go a long way towards making life a lot simpler. Particularly at low levels, when the stamina available on gear hasn't quite caught up with your need to Life Tap yet.
Engineering is, hands down, my favorite profession in the game. Unfortunately, it's also pretty useless for Warlocks--or anybody else for that matter. The utility items like repair bots are great of course, and the quirky items like rocket boots are fun no matter what your class is, but aside from a handful of caster oriented goggles, there really isn't much in this profession that appeals to Warlocks at the moment.
Unless of course you just feel like being awesome, which engineering still does.
Leatherworking & Blacksmithing
I won't beat around the bush here: don't level Leatherworking or Blacksmithing unless you've got a damn good reason. Yes, there are a handful of useful applications for these professions, but there are other professions which synergize with the class much better than these do.
What it comes down to is that, within reason, which profession you choose doesn't make a lot of difference. There are certainly some professions which are better than others for Warlocks, but it's also true that there are some races that are better than others for Warlocks. Selecting a non-optimal race or a non-optimal profession isn't going to make you a bad Warlock. That's the kind of importance reserved for talent builds and casting rotations.