I play a warlock/shadowpriest duo. Xiven mentioned a few things already about how well they compliment each other.

There are also a few other things that make these 2 probably the most synergistic duo.

1)Shadow priests get shadow weaving, which for every shadow spell cast on a mob, shadow spell damage increases 3%(1 spell) up to 15%(5 spells). Seeing as how a warlock is shadow and fire(although I use mostly shadow) you can see these benefits.

2)Shadowpriests also get misery which is just basically another 5% to spell damage on a mob again which helps the warlocks damage output(Or really any other caster in the group).

3)Shadowpriests get vampiric touch which returns 5% of all his(not the groups) shadow damage back to the group as mana. Again helpful to any caster.

4)Shadowpriests get Vampiric embrace which returns 30% of all shadow damage he(not group) deals back as health to the group. With a warlock's lifetap(which converts life to mana) this is great for a grind.(And if you are an affliction lock with soul siphon...it helps even more as you'll be non-stop mana for hours in a steady grind.)

5)Xiven mentioned this earlier, you can soulstone the priest. Which means you cut down on corpse runs since the priest can use the SS then rez the lock.

6)With fear, howl of terror, and psychic scream you should never really die anyway.

7)The lock has curse of shadows to help with the priest's shadow spells.

8)Hellfire is, I beleive, the strongest AoE in game per mana. Of course the downside to this is for every damage the locks gives out he takes himself. That's where the priest comes in. Bubble the lock, renew him, prayer of mending spam him, or whatever healing spell you have at your disposal depending on your situation to heal the lock while he hellfires and it's all good.

9)Power word: fortitude plus imp's bloodpact = major healthbuff.

10)Silence, curse of tongues and felhunter's spell lock will keep casters quiet for a loooong time.

11)Mass dispel, cure disease, spellstone and felhunter's devour magic should pretty much keep any unbeneficial effects off your toons.

12)Seduce and mind control to CC humanoids.

13)Shadow word: death(572 to 664 shadow damage) and shadowburn(597 to 665 shadow damage) on the same key broacast is an instant and with the CoS, misery, and shadow weaving effects up plus +spell they can be huge numbers. Great way to finish off mobs.

14)Shadow ward plus shadow protection makes you own anything that casts shadow spells.

15)Seeing 2 colorful streams(midflay and drain life/drain soul) at the same time right on top of each other is kinda cool too.

Anyway those are just some ways off the top of my head that locks and shadowpriests are synergistic or can achieve the same goal. I personally just like the fact I have the holy trinity in my duo setup. Lock's pet for tanking, lock for dps and priest for healing(although I use him mainly for his dps).