Warlock has to sell their soul to a diety. Paladins basically do the same thing but they're jocks for god. Whenever playing as a magic user, it usually comes down to where their powers come from.
Some worship, some sell their souls, some just learn through books, some are born with inate magical abilities, etc...
So, interesting thing in 5th edition, Paladin spells don't actually come from a deity, but from their faith in their oath. Clerics are the only ones whose power comes from a deity