Hey guys!
My current character has just become a vampire lord, and since it's the first time that I join the Volhikar clan, I don't know how to play as a vampire. What are the pros and cons of being a vampire? Harkon told my character that feeding of humans weakens one's vampiric powers, but not feeding makes the sun dammage deadly...what should I do? How does it work?
Any tips?

If you roleplay, feed when your character would need to feed.
If you don't roleplay, never feed.

There are four stages to vampirism. As you increase to the next stage, your powers get stronger but you take more penalty from the sun. When you feed, you automatically revert back to stage one. It's actually alot of fun. All of my characters are always vampires. Not to mention, they just look totally bad ass.

What if I roleplay a starving vampire?

Best way to roleplay a vampire is to uninstall Skyrim and install Vampire the Masquerade: Bloodlines.

If you're playing on the PC, I'd thoroughly recommend the http://skyrim.nexusmods.com/mods/9717/? mod - endlessly customisable, it really makes playing as a vampire.

As an example, I thought it odd that you're at your most powerful when you're starved of blood. I have the mod set up so that my character is at her strongest for the 24 hours after she's fed. If she doesn't feed, over the next three days she slowly starts to lose her available abilities, becomes physically weaker - less health, stamina and magicka - and becomes more and more vulnerable to fire damage, et cetera.

Bottom line, though she tries to avoid feeding off the general population, she must feed. Going more than 48 hours without feeding has serious consequences.

At a certain point, it becomes uncureable (I think)

Also, I believe it gives you frost resistance

It can be cured. After you've heard the rumor, you can head over to Falion in Morthal.

You mean when you contract the disease. It takes 3 ingame days for the disease to progress to vampirism. It can be cured, if you want to -there's a quest for that.

Being undead, you're resistant to frost and poison. But you get a weakness to fire, starting at 20% and reaching 50% at stage 4.