Imp
The first pet you get and the only one that doesn't require a shard to summon. Best used when grouped and raiding. Due to the stamina buff it provides.

Voidwalker
Otherwise known as "big blue" this is a great pet for soloing with. Due to its high amount of hit points and armour and its ability to taunt mobs. The only downside is that its damage output is virtually non existent.

Succubus
The pvp pet of choice due to its high damage output, crowd control abilities and invisibility. Only downside is that it's quite fragile.

Felhunter
A casters nightmare due to its high resists, has the ability to silence and can heal itself at the same time as dispelling buffs.

Infernal
A fun pet to have for causing havoc especially when raid the opposing factions towns. Even though it has loads of hp, fire immunity and high armour you won't be using it very often due to the fact that you can only control it for a maximum of five minutes. Before it breaks free of your control and turns on you.

Doomguard
Just like the Infernal this is a fun pet that you can only control for a limited time. There are two ways of summoning the Doomguard. If your curse of doom deals the killing blow to a mob there's a 10% chance a Doomguard will be summoned. The more reliable way of summing a Doomguard is via the ritual of doom which works 100% of the time. But requires the assistance of a group and kills a random member of the group.

Felguard
If your demo speced then this will replace the voidwalker. As it does a decent amount of damage.

Unlike the Felsteed which you get free the Dreadsteed involves a long quest line. Of course you can decide to skip it and make do with an ordinary mount.

After getting the quest from a demon trainer in one of the major cities go visit Mor'zul Bloodbringer in Burning Steppes. Who will give you the rage of blood quest. Which requires you to kill owlbeasts in Winterspring.

After handing this in your presented with two questlines. One simply requires you to gather some materials which you should be able to get from the auction house.

You need:
2 Elixir of Shadow Power
6 Large Brilliant Shard
25 Dark Iron ore
3 Black Dragonscale
1 Arcanite Bar

The other requires you to have 156g. As you need to buy some Xorothian Stardust. Before you set off for Shadow Hold make sure you buy shadowy potions from Wildeyes. As without them you can't speak to Lord Banehollow.

Once you arrive outside Shadow Hold drink one of the potions and walk to the bottom where Lord Banehollow is located. He won't sell you any stardust until you kill Ulathek. So travel back towards the surface and you'll come across him in one of the side rooms. After you've killed him go and buy the stardust and take it back to Wildeyes.

Next your off to the Scholomance alchemy lab. You don't need to do a full run, only up to Ras Frostwhisper. If you don't have the key a rogue can open the door for you and if your not level 70 you'll need a group.

The Dreadsteed is within your grasp. Once you've handed in the imp delivery quest. You're off to Dire Maul. But before you go you need to buy J'eevees Jar, Black Lodestone and Xorothian Graph. Which cost a total of 250g, unless you can find another warlock who has them.

Head to Dire Maul with your group. You'll need either the crescent moon key or a rogue with 300 lock picking to open the door. Once inside you need to kill Immol'thar as that's where your summoning circle is going to be.

Imps and Dread Guards will start attacking once you start the ritual. Make sure to recharge the bell, wheel and candle. You require the Black Lodestone and a soul shard to do this.

After 6 mins the ritual will be complete and you'll have the opportunity to rest up. Before using the glyphs and making the Dreadsteed appear. Simple kill it then take to it's spirit and your done.