Pets: I know what you're thinking. Pets? Group utility? No way! But I'm here to argue the point. Unlike Hunter pets, which are all capable of DPSing and tanking to various extents, each Warlock pet has a very specific function -- and a Warlock can maximize their performance in any situation by picking the appropriate pet for the purpose. (And with different pets out, Warlocks can fill different roles in a group, as well.) So get to know your pets and when to use each one.
Imp (obtained at level 4): Our very first pet is fairly fragile, but has the ability to shoot out hard-hitting firebolts (pretty quickly, too, if you invest talent points into improving it). The Imp is also the most common pet for groups and instance runs, because he provides a nice health buff for the entire party (can be improved with talents) and because his Phase Shift ability (usable so long as he doesn't enter combat) prevents him from being targeted and killed. In instances, he's a portable buff-provider. And for PvP or soloing, he's a firebolt chaingun, dishing out hurt on whoever opposes you. (Well, at least until he runs out of mana.)
Voidwalker (obtained at level 10): The Voidwalker, or "blueberry" is the most capable tank of our available pets -- though he's still not that great at it. He has a reasonable amount of health and armor and isn't nearly as fragile as the little Imp, but even with his taunting ability, he has trouble holding aggro against direct damage attacks. (I, honestly, only consider him a usable tank if you invest the talent points in Demonology towards improving him. Before then, you have to be far too cautious about aggro for him to be very useful as a tank.) With his low damage capacity and his limited tanking ability, he's probably the least useful of our available pets. However, he can make an acceptable off-tank if necessary (in non-heroic small instances), which gives him some group utility.
Succubus (obtained at level 20): The Succubus is a great pet -- she's capable of doing excellent DPS in her own right, but has more health than the Imp and is all-around more durable than the Imp in combat. At level 20, the Succubus should become your new best friend -- she tanks nearly as well as a Voidwalker (though without as much health) while doing as much damage as an Imp. And the icing on the cake -- the Succubus can crowd control humanoid-type monsters with her Seduce ability. Does the instance leader think you need a Mage for crowd control? Not at all -- so long as you know how to use your Succubus.
Felhunter (obtained at level 30): The Felhunter has a reasonable amount of health, but doesn't do the damage or have the skills to hold aggro or tank. However, he's the friend to have if you're fighting with casters. He's got high resistances (and with the Demonology talent Master Demonologist, just having him summoned gives you +1 to all of your resistances per level -- so at level 60, that's 60 resist all), can silence enemy casters, and can devour magical effects off of you or your enemies.
Felguard (obtained at level 40, with demonology talents): The Felguard is the 41-point Demonology talent, and I happen to think he's worth every last point. He's a capable tank with a taunt ability and high damage output (and a stackable Frenzy ability that increases his damage on a target). For a Demonology warlock, the Felguard becomes your everypet -- at least unless you need the specific abilities of another pet. (Sadly, the Felgaurd doesn't have the seductive abilities of your Succubus or the array of anti-caster skills provided by your Felhound, so you may still have to switch pets now and again.) He's an excellent off-tank in an instance, though a group may prefer the Imp's stamina buff.
Infernal (obtained at level 50): The Infernal is the first of our pets that are summoned out of our control. When you initially summon an Infernal, he'll be aggressive and angry at you. You'll need to use Enslave Demon (and Curse of Shadows first -- it helps prevent Enslave from being resisted) on him before you'll be able to command him. Enslave only lasts for a maximum of five minutes and is on diminishing returns -- which means you won't be able to keep him under control forever. He's nice while you have him, though -- he does higher melee damage than any of your previous pets while having more health and armor. However, he's also one of our most rarely used pets -- as his greatest strengths will be turned against us as soon as he breaks free of Enslave, which he can do at any time.
Doomguard (obtained at level 60): Like the Infernal, when you initially summon the Doomguard, he's not under our control. And, worse than the Infernal, the method of summoning the Doomguard, the Ritual of Doom to summon the Doomguard requires a party of five players, and as a cost uses both a reagent and kills one of the players. If this player happens to be you, and there's no one left to Enslave your Doomguard, there could be trouble. (So if you're going to do this, Soulstone yourself first!) However, the Doomguard is our most powerful pet, with the highest health and damage, as well as two AOE abilities. His ability to take out groups of enemies makes him occasionally worth the trouble of summoning him -- but when diminishing returns finally kicks in on your Enslave Demon spell, he's going to turn all of that power back on you. Due to the difficulty of controlling him, he's also rarely used.
Debuffs: Warlocks can do more than just damage with their curses -- we can hit with an array of devestating debuffs. While they certainly can provide aid when soloing, they're most useful in a group situation, when their benefit is spread across many players. Sadly, you can't have all of these cool effects at once -- every target can only have one curse per Warlock, so you're going to need to pick your favorite.
Curse of Shadow (CoS): Reduces the targets' resistance to shadow and arcane damage and increases the shadow and arcane damage taken by the target. In a raid situation where you have multiple Warlocks, you'll probably want one of them doing CoS and the other doing CoE to keep all of your casters happy.
Curse of the Elements (CoE): Like CoS, but for fire and frost.
Curse of Recklessness (CoR): Increases the targets' attack power but reduces their armor. Some players swear on this for raids, as the armor reduction increases all physical DPS on the target. However, sometimes healers balk at the additional damage coming in to the tank. (At max rank, it's an extra 9.6 DPS for your target -- or an extra 578 damage coming in every minute. Talk to your healers before using this -- your mileage may vary.) However, CoR has another handy use -- it makes your target immune to fear. This can be incredibly handy for controlling feared or running targets in an instance. And if you want the target running again? Cast a different curse to knock CoR off. Neat how that works out, huh? (And if you're just using it to control feared or running targets, I advise using rank 1, which works just as well as rank 5 for that purpose.)
Curse of Weakness (CoW): Reduces your target's attack power. At maximum rank, it cuts AP by 350 or reduces your target's damage by 25 DPS. With Affliction talents, you can increase its effect by 20%, or by 70 AP at max rank. Not too shabby, but when you can only have one curse at a time, it's hard to pick this one.
Curse of Tongues (CoT): Increases your target's casting time (by 50% at rank 1 and by 60% at rank 2). It's great fun to cast on anyone with a mana bar in PvP, but in PvE, you'll find that most bosses (the targets whose spells are going to hurt most) are immune to it.
Curse of Exhaustion (CoEx): The 21-point Affliction talent reduces the target's movement speed by 30%. It's not a huge slowdown, but it's the only one we've got, and for many players (especially PvPers), it's worth it.
Health & Mana Management: Warlocks aren't a healing class, but for a non-healing class, they have plenty of abilities to keep themselves in good shape. Any party leader has to appreciate a Warlock's ability to keep dishing out damage after a Mage would have run out of mana, while a healer should appreciate how a Warlock can bring their own health up without any intervention.
Life Tap: For Warlocks, health is mana. This skill allows them to take health and turn it in to mana on a one-to-one ratio. (And talents will let you improve that ratio by increasing the mana return by 20%.) This can panic your healers a bit if they don't know what you're doing, so be sure they know about Life Tap so they don't freak out when your health starts dropping. (And as someone who's spent a good amount of time playing both a Warlock and a Priest, be polite to your healers! If you're using Life Tap to regain mana out of combat, bandage or eat afterwards.) The amount of health taken (and mana returned) by Life Tap is improved by your +spell damage gear, so be careful if you're stacked up on spell damage. (You can't kill yourself with Life Tap, but you can get yourself right on the verge.)
Dark Pact: This 31-point Affliction talent lets you steal mana from your summoned pet. Use it with your Imp, who regenrates mana at lightning speed. (Or, at least a lot faster than you regeneratate mana.) The amount of mana returned by Dark Pact is improved by your +spell damage gear.
Drain Life: Drains health from your target and returns it to you. Simple!
Drain Mana: Drains mana from your target and returns it to you. But it's a bit of a slow way to regain mana -- a combination of Life Tap and Drain Life would be faster, especially if you have Improved Life Tap. And if you want to use this to keep a boss mob's mana low? Think again -- the amount of mana it drains (even at max rank) is puny compared to the amount of mana any boss is going to have.
Death Coil: Instant-cast, 2 minute cooldown. Steals a set amount of health from your target and returns it to you while fearing your target for 3 seconds. This one ability has inspired more nerf threads on the forums than any other -- which means it's well worth using.
Soul Shards: Your party probably doesn't know or care about soul shards, but you should. Soul shards are what fuel a Warlocks' abilities. They're used to summon pets and create conjured items -- and since they don't stack and take up a single inventory space each, they can create some inventory management issues.
Healthstones: These nifty conjured items act exactly like a health potion -- only on a different cooldown. They can be traded to others, and a polite Warlock will offer one to his or her fellow party-members (and remind them to put it on one of their hotbars to use in case of emergency). The trick is that you can only have one in your inventory at once -- but this can be gotten around. If you're in a party or raid with multiple Warlocks, and one has points in Improved Healthstone and one doesn't, you can carry two healthstones! In fact, it's worth having a Warlock in your raid specced with just one (of two) talent points in Improved Healthstone, which means players can have three healthstones: one for 0 points in Improved Healthstone, one for 1 point in Improved Healthstone, and one for 2 points in Improved Healthstone. Obviously, this creates a drain on your Warlocks' soul shard supplies, but it can give you a bit of an edge when you're trying to push through some particularly tough content.
Soulstones: Soulstones are conjured item that are usable every 30 minutes. A Warlock can conjure a Soulstone, use it on a player, and for 30 minutes, that player's soul is stored in the Soulstone -- meaning if they die, they may immediately self-rez using the Soulstone. This kind of wipe-protection is invaluable in any party situation.
Summoning: At the cost of a soul shard and with the help of two other players, a Warlock can summon someone in their party anywhere in the known world. Well... almost anywhere. The only trick is, if they're inside an instance, and you're outside an instance, they can't summon you until you're in the same instance. However, it's an incredibly handy way to get large groups of players from place to place quickly.