Breakdown of professions:
Mining - needed for ores for BS, JC or Eng. Gives stamina boost, which is useful while leveling, not as much once you start raiding. It also makes a lot of money selling the ores/bars, but there's a lot of competition here because it's in so much need.
Herbalism - used for inscription or alchemy. Gives a self heal (very strong levelling, but pretty weak at level 80). Herbs sell okay in the lower levels, but lichbloom and icethorn sell pretty darn well for endgame flasks, and they're easy to gather.
Skinning - Gives you crit, which is a fairly okay stat for warlocks, and you use it for leatherworking. It's not that special. High-end herbs and ores sell for a lot more than skins, usually.
Alchemy - You get some really nice trinkets in the philosopher stones, your flasks last longer and are stronger. You'll -always- need flasks/potions/elixirs for raids. Depending on server, they may not sell very well. Flasks tend to sell in my server for about 9-10g a pop (sometimes -cheaper- than the base mats). My old server used to have them for a lot higher though, so again, depends on environment. Transmutations to create high end gems is also a good way to make money, turning a 20g gem into a 120g gem.
Blacksmithing - it's only usefulness to a warlock is the sockets. Lots of freedom depending on builds...but warlocks don't really change on main stats that much between builds. More useful for hybrid classes. And it's expensive to level, so not too worth it.
Enchanting - Depending on how often you upgrade gear, this can be nice to have so you don't have to look for someone else to do the enchants for you. It's expensive to level, but it goes very well with Tailoring, as there's -always- lots of cloth dropping as you're leveling that you can convert into greens to level enchanting. It also helps keep you armed with wands in the lower level when you don't have a lot of mana, and makes a fair bit of money in endgame because someone will always need enchants for new gear (again, this depends on server population and availability of enchanters. In my server, in about an hour of watching trade chat, I can make anywhere from 200g to 600g in tips though, so I certainly like it more than mgsaintz). And you get to enchant your rings, which nobody else can do.
Engineering - It has a lot of fun things, and it's very useful for pvp, but it's fairly hard to put a good number on how good/bad it is, especially for raiding. You can't beat some of it's utility like carried mailbox, jeeves (repair bot), and the like. And hey, you can fly in a helicopter, and if you have the money for the mats, build a motorcycle (note of course that you can always just buy the motorcycle without engineering, it's just much more expensive).
Inscription - You make glyphs. These sell...okay. So do some of the darkmoon cards. It's pretty hit or miss, and relies on luck, and to get the last recipes, you have to spend a fair bit on buying a loooooot of 'Book of Glyph Mastery' items. It gives you the best shoulder enchants in the game though. Generally, unless you change a lot of specs, there's just not that much utility for yourself though.
Jewelcrafting - Gems sell for tons, especially the epic cuts, and there's always someone spamming trade looking for a jewelcrafter who can cut their gems, same as with enchanters. ALWAYS. It's very expensive to level, but very much worth it in the end, and you also recuperate some of your losses in daily quests that only JCers get access to.
Leatherworking - Access to drums (for when you don't have a paladin for kings or a druid for gift buffs), some special bracer enchants...and that's about it. You also make the leg enchants, but you make the ones for melee users. The ones for casters are made by Tailoring.
Tailoring - As mentioned, you make the leg enchants for casters. You also get special cloak enchants, you get a flying carpet mount, and you can make some of your gear (based on access to certain rare goods, though a lot of them aren't quite as rare, just take a bit of time to get). It's also one of the best partners for enchanting, since this profession doesn't require any gathering professions. You just kill stuff to get cloth.
***
So really, in the long run? Leatherworking and Blacksmithing are the least useful to you. Herbalism is useful only if you go into Alchemy or inscription. Inscription is fairly limited (although does appear to be increasing in scope for Cataclysm) and one of the most frustrating professions to get recipes for. Engineering generally doesn't sell things well.
From the others, check the auction house in your server, see how things sell. Pick whichever professions give you the strongest chance of profit, unless you really like the perks of another profession.
There's really no outright 'this is what you've gotta pick' option when it comes to profession, unfortunately.
Edit: Keep in mind, you can always drop a profession and start a new one, but it's easier to drop a gathering profession, and you make money with those as opposed to losing money levelling the others.
You really can't beat leveling with Mining + Herbalism (if you have access to a macro that switches between the two tracking and don't mind the small annoyances of it) or Mining + Skinning (if you want to keep it simpler). Then when you hit 80, if you don't want either of those two, power level something else.