Zen'Vorka and Thrall start you out right
When you first hit level 85, you can immediately talk to the shaman NPC who oversees your faction's Cataclysm portals. You'll get a quest to go see Thrall and complete an epic quest line. Whether you see the quest line as an involved look into the psyche of an important lore figure, full of emotional weight, or as a tiring trudge through a field of saccharine clichés courtesy of a couple of one-dimensional Mary Sues, the quest is worth doing if only for the loot at the end.
You'll get your choice of cape rewards. Death knights will want to grab either the Mantle of Patience or the Mantle of Fury, depending on what role you prefer to play. Don't worry too much if you're agonizing over whether to get the DPS cape or the tanking cape. If you're lucky, you can just get into a pickup group to kill Firelands trash. From that, you can get friendly with the Avengers of Hyjal and grab both the Bladed Flamewrath Cover and the Durable Flamewrath Greatcloak.
Once you have your cloak from Thrall and you've either flown away in disgust or sat around and gotten all weepy over the whole lifemate ceremony thing, it's time to start in on the Firelands dailies. If you haven't started them yet, you're in luck. All it takes is one day to unlock Zen'Vorka, the first vendor you'll encounter. Once you've entered the Firelands, he'll be located in the small cave at your base.
Zen'Vorka sells a small selection of ilevel 365 gear. From him, you'll be able to grab two items, the Pyrelord Greaves, which should be a solid tank gear upgrade, and the Fireheart Necklace. The Fireheart Necklace should be a very nice upgrade for a non-raiding frost DPSer. Just reforge the expertise if needed, and you're good to go. Unfortunately, it's a little less desirable for an unholy DPSer, as expertise isn't really needed for unholy DPS. Still, it does have extra strength, so if you're using an ilevel 346 or lower necklace, you should still be good to reforge the expertise and go. You'll also probably want to pick up a Fireheart Necklace for your tank set. Mastery's still a pretty amazing death knight tank stat, so you can just reforge the expertise to parry or dodge rating as needed.
The gear at the end of the Firelands slog
Once you're set up with Zen'Vorka, you'll need to start doing your Firelands dailies religiously. After you've unlocked a few reinforcements, you'll get the option to unlock three vendors, each of which requires a chunk of Marks of the World Tree and each of which has unique options for your gearing pleasure. Of course, you won't be able to unlock any of these for a while, but it's worth thinking about them now. That way, you can figure out who to unlock first.
Damek Bloombeard offers the following things of note for a death knight:
Ricket's Gun Show are pretty solid tank bracers for a death knight, with mastery and parry. You can easily reforge the parry to dodge if needed. Of course, it's also worth noting that you can get Bracers of Regal Force from VP (and since they're BOE, you can even buy them with gold or have an alt spend the VP for them), so it's certainly reasonable to go for another vendor first if you're after tank gear and just get your bracers elsewhere.
Rickety Belt does have expertise, which is a little less desirable for unholy death knights, but it's still a pretty clear upgrade over the old Belt of the Ferocious Wolf for any DPS death knight. You'll want to pick one up.
Meteorite Ring has the misfortune of having critical strike rating, which is a pretty low-priority stat for any death knight DPSer. On the plus side, it also has haste, which is universally great for death knight DPS. On the balance, just grab the ring and reforge the critical strike rating to mastery (or hit or expertise, if needed), and you'll be fine.
Plans: Masterwork Elementium Deathblade should be mentioned here, if only because you will probably want one eventually if you're a non-raiding, 2H weapon-wielding death knight. If you're not a blacksmith yourself, find a blacksmith friend who has Damek unlocked.
Plans: Elementium-Edged Scalper is your dual wield frost option. If that's your bag and you don't plan to raid tier 12 any time soon, get a blacksmith friend to make you a couple of these.
has the following items that are useful for death knights:
Moon Blessed Band is a DPS ring that is cursed by having that silly critical strike rating on it. Luckily, you can reforge at least some of it away. It'll be a solid upgrade to an ilevel 346 ring, if nothing else.
Moonwell Phial is a tanking trinket that may be just what you need if you're still having trouble replacing some old ilevel 346 or 333 tanking trinkets. Just make sure to time the on-use effect for when you know you won't need to move much.
has the following options for death knights:
Nemesis Shell Band is a tanking ring. Reforge the expertise to mastery, and it should serve you well enough.
Lylagar Horn Ring is another tanking ring, and it's even more drool-worthy than the Nemesis Shell Band. Reforge the parry to dodge if needed, or leave as is.
Relic of Tortolla is a tanking relic. Again, just reforge the expertise to mastery, stick a Fractured Amberjewel in there, and you're good to go.
Relic of Lo'Gosh is a DPS relic. You'll want to reforge the critical strike rating, most likely to haste, and stick a Bold Inferno Ruby in the slot.
Dwyer's Caber is your DPS trinket option here. It's very difficult to say no to all that strength for sure. Plus, you get to impress the ladies and/or fellas by tossing trees. How can you not pick this one up? Consider the critical strike rating proc icing on the cake.
Learn the ropes of endgame play with WoW Insider's DK 101 guide. Make yourself invaluable to your raid group with Mind Freeze and other interrupts, gear up with pre-heroic DPS gear or pre-heroic tank gear, and plot your path to tier 11/valor point DPS gear.