Some basic stuff first... imps don't need a Soul Shard to summon, so it's great for lazy Warlocks. It also has a basic Firebolt that you'll need to set to auto-cast because that's pretty much all it can do once you've toggled it to attack. Firebolt was nerfed to a 2.5 second cast -- up from 2 -- but there are a lot of talents that pump up the imp's DPS (including the silly Demonic Power which brings back Firebolt's casting time to the original 2). It also provides a couple of group buffs -- the Fire Shield, which is kind of like a Druid's Thorns but with a Fire Resistance bonus; and Blood Pact, a Stamina buff that used to get a Warlock grouped with the tank. Blood Pact has been changed to grant a health bonus, rather than Stamina, so it will no longer stack with Commanding Shout.
Finally, an imp can Phase Shift, a sort of self-Banish that only breaks when the imp attacks. A Phase Shifted imp used to be standard for Affliction Warlocks with Dark Pact, because of the imp's high mana pool and monstrous regeneration rate. That's all set to change in Wrath, however, with the improvements to the Felhunter. The imp blows things up, that's kind of its nature, so in Wrath of the Lich King, if you're a Warlock that likes to blow things up, the imp is the demon that blows things up right with you.