I've played a Paragon Fey Hexblade a few times so far...my advice/comments might not be incredibly helpful but some of them are based on RPGA experience. Some of which went badly and made me wish I'd had a few of these feats. My gang doesn't mind snagging non-Essential feats on an Essential toon, something forum browsing says isn't kosher in all games. That said, some random cool stuff I snaggged:
1. Inescapable Force (Paragon Tier): Your Eldritch Bolt is the 1st "Force" damage attack that does real damage and that you're forced to take. (Wizard's Magic Missile is the other, but that's another thing). This Feat means you not only ignore Insubstantial damage reduction & you do an additional d10. While situational, it means you have an at-will that nukes insubstantial Ghost encounters. Which happen. And are a pain.
2. Arcane Admixture (Paragon Tier): Choose your At-Will Basic that you'll be using forever. Add another Damage Type to it. This removes the pain of doing only Cold Damage when fighting an Ice Titan or only Radiant when you're stabbing an.....angel? Whatever, you get my point. Remember the Hexblade doesn't ignore resistances like the Sorcerer PLUS you're saddled with doing one damage type (Cold or Radiant) most of the time.
3. Starfire Womb (Heroic Tier) Now admittedly this only works if your Fey Hexblade is from the Dragon Article "Lady of the White Well". You didn't specify which kind of Fey Hexblade but, well, yeah. The Fey Lady marriage pact is pretty classy because your at-will does Radiant Damage. This feat? Every time you hit you can make a save. Considering how focused the damage type of a Hexblade can be, feats that zero in on that angle can pay out. Which reminds me.....
3a: Lasting Frost (Paragon Tier): Hit an enemy with cold damage & they gain Vulnerable Cold 5. Again, it's Paragon but if you're Fey & doing cold damage almost every round.....
4a. Weirdness:
Multiclass Rogue Madness. Honestly you'll be wielding a Light or Heavy Blade with a Fey Pact, so I did a little diving into multiclassing Martial to get some of the feats linked to those classes & specific weapons. Wicked Blade gives my Pact Weapon the High Crit option, for instance. Duelist Panache adds Charisma to Acrobatics & Athletics, something that fit my concept. Long story short, just skimming some Martial options can pay off with punch or fluff, depending.
4b. Arcane Implement Focus: I'm not doing this trick but dear god several of my friends are, to mixed cheatery results. I say cheatery because dear GOD it feels wrong. With the feat you choose another Implement from another Arcane Class, say Heavy Blade (Swordmage) or Daggers (Sorcerer). Remember, your Pact Weapon is ALSO your Implement for the purposes of, well, everything. Sure, now you're Light Blade Pact Weapon also Counts as a Heavy Blade...but the key here is the items. Here are a two I've seen used.
Incisive Dagger: Increases every Teleport by Enhancement Bonus
Blade of Eldritch Knight: Standard Melee attack range becomes 5. Is part of the Eldritch Panopy set (meant for Swordmages) but both the Belt & Arm slot work fine & are all about teleportation madness.
....So there you go. Some of my rambling plus me reporting stuff that I feel might not be kosher but since all the cool kids are doing it, I share.
-Jared