When you create a character, you have a few things to consider. But first and foremost; any race you pick can become a great warlock.
Starting Stats
For completeness sake, a table with the starting stats. Keep in mind that you will be wearing gear with big stat boosts at higher levels, negating differences between races.

Racial Traits
Some of the racial traits however, can have a more lasting effect throughout the levels.

Before the changes to racials that came in the patch prior to the Burning Crusade release, I favored Gnome or Undead. Currently, those races are still going strong, but its harder to pick a favorite.
Gnome versus Human is a bit off a tossup for PvP. Gnome’s Escape Artist is instant, and comes in very handy when stuck in a hunter trap, frost nova etc. Human’s Perception is great for spotting stealthers.
Both activated racials are good PvP tools, although the human one requires some experience and luck to utilize properly. The human diplomacy trait helps a lot with reputation gains. Go Human if you’re mainly interested in PvE.

Orc versus Undead: Both have very useful traits when it comes to PvP. The Orcish Blood Fury make them my favorite for PvE, but also has definite PvP value. Their extra stun resistance is great against rogues, and gives you a much better fighting chance against a series of stuns (rogues). Undead’s Will of the Forsaken is still extremely useful, and Cannibalize sees a lot of use in PvE (mainly when soloing). Which race to pick when you’re PvP inclined comes down to preference and playstyle.
Lastly, Burning Crusade brought the Blood Elf race. Their AE silence can definitely make or break a PvP fight and the mana gained helpful, but I’m not a fan. Their racials are simply not that hot when compared to undead and orc.
As a side note, the low level orcish quests aren’t nearly as good as the undead and blood elf ones are. They will get the job done, but if you want a better level 5-15 quest experience you could consider migrating to Lordaeron or Silvermoon at level 5 and getting started in Bril. Don’t try this at level 1, the level 1-5 quests by the race they're meant for.
Warning: You cannot do the pet quests of another race, and will have to do the voidwalker quest you get at level 10 in your hometown.

Usable Items
Warlocks can use the following item types:
Cloth armor, Wands and daggers: you start with these skills.
Staves: Trained for 10 silver. You can do so at the Weapon master in Thunder bluff for Horde, and in Darnassus or Stormwind for Alliance.
One handed swords: Trained for 10 silver. You can learn this in Undercity for horde, Darnassus or Stormwind for Alliance.
Warlocks cannot dual wield, use shields, or use any two-handed weapon type other than staves.
Other than the choice of race and appearance, there is nothing to do at character creation but decide on a name. You can now start you life as a warlock!