Between Arenas, V'Ming spends his time as a lock laughing ominously in AV, tanking Olm with his own minions and pondering troll fashion from Zul'Aman.
I confess that I rolled a lock for simply the coolest mount in game, back in May '05 when I was still a wide-eyed WoW newbie. Yes, the one thing that visually - and financially - sets us apart from most other poor sods who have to cough up 90g or so: the free Felsteed mount at level 40!
When you ding 40, put EVERYTHING on hold, fly/run/swim to the nearest Warlock trainer and get Summon Felsteed for 1g (or probably just 90s, depending on your reputation with the city). For this low, low price, you also get 75 riding skill, so that you can ride all other basic mounts - but why would you wanna?!
Now that I've stuck this carrot-on-a-stick in your face, let's hope that this will spur you through the enchanting mid-levels of 21 to 40.
So what do you do with all the gold you've saved on your mount? Invest in bags, of course. Soul shards can take a lot of space, so you'll want as much bag space as possible for uninterrupted questing and farming. As a very general rule of thumb, you should have 10 shards for soloing and 20 shards for group work. Some warlocks carry up to 40 shards for raids! Remember, a lock should never be caught without shards.
In 1-20, the game threw three vastly different pets at you. The bad news for 21-40: you will only get one new pet, the Felhunter at level 30. The good news: Enslave Demon, also available at level 30, will open the door to a whole range of demonic playthings!
The felhunter is a anti-caster pet that many warlocks like to PvP with. The dog-like demon makes counterspell and 'decurse' effects available to the Warlock in a durable, magic-resistant package. By level 36, your doggie should have its full arsenal of abilities, minus Paranoia.
You'll probably want to manually control the felhunter's Spell Lock, to prevent it from being stuck in its 3-minute cooldown at the most inopportune PvP moments. Like the succubus' seduction, this pet ability can be better managed with a hot-keyed macro:
/focus [target=focus,noexists]; [target=focus,dead]
/cast [pet:Felhunter,target=focus,harm] Spell Lock; Spell Lock
This macro uses the /focus function to 'lock' onto a target, without the need to manually reacquire. Use the Alt key to change your focus.
The Hunter may have the animal kingdom to befriend, but in line with the badass theme of warlocks, we have demons to enslave. At the cost of one soul shard, you can have a cool demon (with chains!) at your disposal for five minutes. Impress your friends, tank the mobs with one of their own, but watch that duration 'cos you'll have an angry demon after you when enslave breaks (a timer is useful here).
DoTs and nukes
You won't get many new DPS toys from 21 to 40, other than upgrades to your existing ones. In other words, by level 20, you pretty much have all the staple DoTs and nukes.
At level 30, you get to puff Hellfire around you. This is a channeled AoE spell that does more damage than Rain of Fire. Unfortunately the spell is centered around you and you get to share the fiery pain with your enemies (another sure sign of Warlock emo). Make sure your healer is well-trained to recognize what you're trying to do, and pop some shields or heals your way. Also make sure that the mobs you're going down in a blaze of glory with is occupied with a tank or an AoE-ing mage. Even without mobs beating on you, this spell, unlike Life Tap, will gleefully send you on a corpse run.
Incidentally, sometimes you may actually want a corpse run. An example is heading to the back door of Karazhan when the raid is done with the opera event. It's simply quicker to take a shortcut via the graveyard, since Death by hellfire does not incur repair costs. It's a fun way to trip your healers' panic buttons too.
Some talent-specific spells should be mentioned here:
Siphon Life - you get this at level 30, but only if you've made a beeline for it in the Affliction tree. This DoT acts like a fire-and-forget Drain Life, but it's not mana-efficient for the damage it does. Use this for its heal-over-time component. Good for longer or multi-target fights.
Shadowburn - instant nuke at the cost of a soul shard; refunds the shard if the mob croaks within five seconds. This is the first instant-speed nuke a Warlock will get, but you'll need to spec 11 points into the Destruction tree to get this bad boy.
Debuffs and crowd control
You get two curses at level 26 and 32: Curse of Tongues (CoT) and Curse of Elements (CoE) respectively. CoT makes life difficult for casters and is arguably more valuable in PvP. Imagine stretching the cast time of a greater heal to 4.5 seconds or any other cast times by 50% - simply evil! An interesting side effect of this curse is when the player of the affected toon types something in chat, it comes out as gibberish (or Demonic, for the lore-inclined)!
Rank 1 CoE increases fire and frost damage by at least 6%. "Waitaminute, but locks don't do ice spells!" you may point out. This is where the group utility of CoE comes in: this curse increases the effectiveness of other classes in your party of raid that do use ice - like the Mage and Shaman. Mages benefit the most from CoE, with both schools of their elemental magic boosted. CoE has limited utility when you're soloing, unless you're destro-specced and sling a lot of fire spells (which begs the question: shouldn't a pyromaniac like you roll a mage?)
If you haven't noticed, warlocks are manipulative, in lore, theme and abilities. Another example of resource manipulation is Drain Life's little sister: Drain Mana, learnt at level 24. Unlike its big brother, this spell is very much left unused, especially while soloing. It shines in specific boss encounters, like Moam in AQ20.
Banish, first learnt at level 28, makes the Warlock indispensable in demon or elemental-laden encounters. Simply put, Banish is the best form of crowd control: it doesn't heal, it doesn't move the mob randomly, and it's unbreakable - at least until it wears off, or if you decide to cast it on a different demon or elemental. (There was a short period of time when a lock could break banish with a second banish on the same mob, but alas, that was quickly 'fixed'.) A Warlock can effectively pwn a group of four demons alone: enslave one to tank a second, banish the third and DPS the fourth. Don't forget to laugh like a maniac at the same time.
Consider a /focus macro and a timer for this excellent spell:
/focus [target=focus,dead]; [target=focus,noexists]
/cast [target=focus,harm] Banish; Banish
Use the Alt key to change focus, as usual. Be careful when using this in conjunction with other /focus macros, as you might end up trying to banish a seduced target, for example. Seduction takes precedence for me, since it's the easiest to break.
At level 40, you learn an AoE fear spell: Howl of Terror. With a cast time of 1.5 seconds, it is limited in its utility. Invest two points in Improved Howl of Terror to make the spell instant, and you'll be howling away in both PvP and PvE. In PvP, use this to get out of sticky situations or be a general nuisance. In PvE, you can use this as a limited form of crowd control, or buy time for your DoTs in multi-mob farming. Sold yet? Unfortunately, the earliest level you can make this spell instant is 46. Patience, young lock.
With the howl, the Warlock's crowd control arsenal is pretty much complete: seduction, banish, enslave, fear, and pet tanking. We are one of the privileged classes that can control multiple mobs at the same time. Learn to use your CC tools well, and you'll be well-loved in 5-mans and raids.
While healthstones and soulstones are staple Warlock tools, the utility of the other two stones - Firestone (level 28) and Spellstone (level 36) - is suspect in PvE. If you do not have a good wand, go ahead and equip either of these, particularly the spellstone. In PvP, many warlocks equip the spellstone for its crit and 'get out of jail free' blanket magic removal. With a cooldown of three minutes, I'd say that the spellstone is more useful in Arenas compared to a lackluster wand.
Making our way down the Affliction tree, we will start to get some real gems:
Fel Concentration - a must-have if you want to drain-tank your way up. With Soul Siphon, Drain Life becomes a virtually uninterruptible monster.
Nightfall - another reason to drain life. Makes your shadowbolt instant when it procs every other fight or so, if you apply corruption and drain life diligently. This talent doesn't proc nearly as much in group work, since it's more effective to spam nukes than drain and hope for a proc.
Dark Pact - an absolute gem for minimizing downtime, obtained at level 40. You'll almost never need to drink again! This talent makes your pet a mana battery. The imp is ideal for this, with its phenomenal mana regen. With dark pact, you can replenish your own mana from both your pet's mana and life tap. Be careful when you tap mana from the succubus though, you don't want her to be out of mana when you need a seduce.
At this point, you'll have to pick different builds, depending on your play style and the server type you're on
If you dabble in PvP or play on a PvP server, get Curse of Exhaustion (CoEx) and its requisite talent, Amplify Curse with this build. CoEx, like fear, can get you out of sticky situations and is obviously frustrating for melee opponents that need to close the gap to do damage. Amplify curse makes CoEx 20% more debilitating, and provides a nice 50% damage boost to CoA and eventually, Curse of Doom (CoD). Make sure that your CoEx'es are amplified as often as possible, with this macro:
/cast Amplify Curse
/cast Curse of Exhaustion
You can also tailor this macro for CoA and even CoD to prevent forgetting to amp them up, given that the cooldown of amp curse is a long-ish three minutes.
If you want to focus on leveling, or do not care for PvP at this point, you should consider four points in Suppression with this build. Suppression is an easy way to gain +hit, so that your targets will get less resists (or partial resists for DoTs) against all your affliction spells, which includes fear and the much maligned Death Coil.
Both these builds are designed to hit Dark Pact as soon as possible at level 40, for minimizing downtime. Feel free to tailor them to your play style - you control your warlock's dark destiny! :) Read this excellent guide with a detailed look at all Warlock talents on the official forums.
As some of you have pointed out, there are some Warlock-specific quests from 21-40, other than the ones for your Felhunter. Some of the rewards are great, and even if they're not, the quests are part of the unique Warlock experience. We have the most class, race and even faction-specific quests, compared to the rest.
The Orb of Soran'ruk - this quest will send you to two instances: Blackfathom Deeps and Shadowfang Keep. Pick this quest up from Doan Karhan in The Barrens at level 20. Warning: there's much travelling involved as BFD and SFK are practically on opposite ends of Azeroth.
You have served us well - this is the Warlock-specific end to a Alliance-only quest chain, starting with A Noble Brew. Yes, Alliance only. It will send you to Darkshire and the Wetlands and you can pick it up at level 25, for a nice hat reward at the end.
Enchanted Gold Bloodrobe - a long chain that starts from your trainer at level 31, that gives you a very nice robe (which Mr Sexy is wearing above). In a nutshell, you will need a somewhat rare tailoring pattern (and a tailor, if you're not one), a gold bar from the AH or a blacksmith, and some drops from Desolace and Arathi Highlands. Worth doing, for the experience and the reward.
Final reminder: mount up as soon as you hit 40!