I find warlocks are a blast to RP. One big trick, as noted by another poster, is to pick an invocation or two that isn't necessarily a combat booster or offensive/defensive ability. There's some good Least Invocations to fill that role, and you can even spend a feat to get an extra Invocation if you want. Another fun RP point about the warlock is that they, moreso even than the sorceror, are innately tied to a supernatural origin. The class description suggests fiendish, but that's just one possibility. I've had fey warlocks, even warlocks who were the result of mysterious magical experiments on people. A friend of mine has a warforged warlock that gets his powers from a sort of symbiosis with an otherworldly power that partially inhabited his body during the Mourning. The key is to choose some invocations that reflect your origin (and warlocks can get some good mileage out of Heritage feats too) and be creative. Does your character know his origin? Does he want to? How does he feel about it? Etc etc.
As far as good blasty mods...if I'm going to gunship, Eldritch Spear is nigh-essential. That with Fell Flight lets you snipe from so far above that only spells (and even then, only long-range spells) can hit you. Empower Eldritch Blast is one of the best fire-power enhancing feats for the money you can get...and remember the "Sudden (blank)" series works just fine on invocations. Invest early in a Chauseble of Fell Power to boost your per-blast firepower. The Chain Blast invocation is a nice way to get a limited "area" power from your blasts. Eldritch Cone is worth looking at if you've been cranking your Cha and save DC (Ability Focus: Eldritch Blast may be worth it if you're concentrating on blasts) for awhile. Also look at Invocations like Painful Sleep of the Ages, Word of Changing, and Chilling Tentacles. I also like Beshadowed Blast (blinds target for a round), Utterdark Blast (inflicts negative level per blast), and the ever-popular Vitriolic Blast (does continuing acid damage, bypasses SR).
Other fun things: Repelling Blast. Surprisingly useful for avoiding melee, knocking combatants around and off things. Dark One's Luck is a potentially very potent save booster, and one of the few defensive abilities that warlocks get. If you're up against a non-spellcaster, Dark Discorporation is an awesome defense AND offense. Just watch out for area attacks.
