Wait, Volo is a merchant? I've never come across the dialogue option to trade with him. I'm going to have to look into that, might be a bug or I'm just wildly unobservant. I was wondering why he kept hanging around the camp other than wanting to stick that clothing needle in my eye

Yeah, it's nice to get that Action Surge feat and be able to launch an extra round of Eldritch Blast. Since they start out with such low Strength I spec Dexterity up a bit (along with Charisma) and concentrate on finesse weapons, bows and throwables. If you want more melee, Pact of the Blade for Warlock overcomes the strength deficit and combines nicely with a Warlock/Fighter, especially with the extra attack you get later on (level 5 I think). You can end up having an Infernal fighter that can spam something like 5 attacks if you do it right by incorporating the Battle Master subclass for Fighter. I'm still trying to find the right balance to include the Arcane knight sub-class to add more magic. I keep forgetting that I can respect at any time. Really need to play around with that more. I've noticed in the forums a lot of folks suggest 3 levels of Warlock, 2 Levels of Fighter and then go the Sorcerer route. Haven't tried that yet though.

I haven't checked online, but it seems like Rogue and Warlock might mesh well too.

Volo is a trader IF you start the conversation about the parasite with him, and then the option to trade should appear. It's NOT a dialogue option, but shows up as an action like trading would for random characters in the game, so on the bottom of the screen.