For this portion of the guide, I'm going to recommend that most of your talent points go to the Combat tree, that you equip swords, and use Sinister Strike as your main attack. There are a few reasons for this: 1) There's no positional requirement, you don't have to be behind your opponent like you do with Backstab; 2) It's far easier to find a good sword at these levels than a good dagger; 3) Around level 35 (30 if you don't put any points in another tree), you can start getting Sword Specialization, which will help boost your DPS.
At level 20, I'd recommend your talent point spread looks something like this. At level 40, think about respeccing to this -- it picks up Adrenaline Rush (awesome), Sword Spec, reduces the cooldown on Sprint (which until you get a mount, you'll find yourself using a lot just to speed up travel time), and gets you Blade Flurry, which will allow you to DPS two targets at once.
Now is also a good time to start saving money towards that first mount at 40, if you haven't already. If you've got a gathering profession or two, consider putting what you pick up on the Auction House to help make money (or better yet, send them to an alt and have them put them on the Auction House, saving you some bag/bank space). Now, on with the new skills!
Level 22: Two new skills this level -- Vanish and Distract. Vanish is a 5 minute cooldown that requires a reagent (Flash Powder), but it allows you to enter stealth even if you're in combat. Be aware that any kind of DoT or bleed effect you're afflicted by will break stealth, so be careful when using it to escape. Distract is a ranged ability that has an Area of Effect, and can only be used on targets that aren't in combat. While it doesn't cause damage, it does make the target face towards the distraction, so it's useful for turning a target around, or temporarily stopping a patrolling mob. You also pick up new ranks of Garrote and Sinister Strike.
Level 24: You get a new rank of Eviscerate, as well as a new passive ability called Detect Traps, which allows you to see traps (like those laid by a Hunter) and either avoid or disarm them. You also learn how to create a new poison called Mind-Numbing Poison which increases the spell-casting time of anyone affected by it.
Level 26: You get new ranks of Ambush, Kick, and Expose Armor. In addition, you also pick up a new opener -- Cheap Shot. Instead of causing damage, Cheap Shot stuns the target for 4 seconds and awards 2 combo points. It costs 60 energy, but is a fantastic opening move in many cases. CS is also one of the skills you'll need to "stunlock" a target (more on that later).
Level 28: Nothing brand new this level, but you do get new ranks of Backstab, Feint, Instant Poison, Rupture, and Sap.
Level 30: Woo! Thirty is a big level because you gain access to another of the key skills you'll need to stunlock a target: Kidney Shot. Kidney Shot is a finishing move that stuns the target for a number of seconds, depending on how many combo points you used (a full 5 combo points means a 5 second stun). It's generally a good idea to wait until you have nearly full energy before unleashing KS, so you can use some of your special attacks while the opponent is stunned and start building combo points again. A stunlock, by the way, is a term used to describe a method of keeping your opponent stunned or incapacitated the entire time you are fighting them. If completely successful, you can take their health from 100% to 0% without giving them the chance to do anything. You also pick up Disarm Traps, a skill that does exactly what it sounds like, as well as new ranks of Garrote and Sinister Strike.
Level 32: New ranks of Eviscerate and Gouge, as well as a new poison -- Wound Poison. When applied, this poison does damage and reduces healing effects on the target by 10%. It also stacks up to 5 times on a single target, effectively reducing all heals by half. Along with Crippling Poison, this is one of the most popular poisons for PvP combat.
Level 34: You learn Blind at this level, a skill that allows you to disorient a target for up to 10 seconds. Damage will break the effect, but it's quite useful and clever rogues will use it a lot. You also get new ranks of Ambush and Sprint.
Level 36: Nothing new this level except new ranks of old favorites: Backstab, Expose Armor, Instant Poison, and Rupture.
Level 38: Almost to 40! Hope you've got enough gold saved up for that mount! You get new ranks of Garrote and Sinister Strike, and new ranks of two different poisons -- Deadly and Mind Numbing.
Level 40: Woohoo! If you followed the build I outlined above, you get Adrenaline Rush this level, which increases your energy regeneration rate by 100%. Great to use when you need an extra burst of DPS. You also pick up Safe Fall this level, another passive skill. This one lets you fall from greater heights without taking fall damage. Very useful. Additionally, new ranks of Eviscerate, Feint, Stealth, and Wound Poison are available at this level. And don't forget your mount!
Now that you're 40, I would start placing some points in the Assassination tree, as it will compliment your current talents from the Combat tree very nicely. You can also try out a Subtlety build at this point, and use Hemorrhage as your main attack instead of Sinister Strike. Subtlety has different strengths and weaknesses than Combat, but at this point you should be comfortable enough with your Rogueish abilities to make the call yourself. Exciting times lay ahead of you either way as you approach 60 and beyond, but you've got most of the skills you need to handle it. Now get out there (but remember, stick to the shadows)!