Things to say that I find go down well are:
Pointing out just how under your control he is, reminding him you can do anything you want with him.
Hint at things you're going to do to him, but don't give away too much.
Play on his fetishes a little.
As for things to do, teasing is an absolute must when you've got someone tied up, in my personal opinion. Don't go straight for the kill, so to speak. Lick him softly, teasingly stroke, tickle softly. Make him squirm and beg :)