Edit from original build post [02/21/11]
Mana regen is HUGE early game. Focus on harassing as much as possible and don't be afraid to use to ignite on someone if they only have 1 health pot and use it. Try to start harassing @ level 2 Shard which will be at Lvl 3.
I personally like getting glacial shroud by lvl 6 because of the extra mana/armor/CD reduction, especially for your Ult.
I personally don't like building Malph as a tank with almost all health items, try to focus on gettin armor and MR resists. I do get sunfire for the extra health and armor and the passive is just an added bonus.
At late game almost never use your ult in 1v1 situations unless you have visual on their team and never start a team fight unless your ult is up, or very close to being up.
Malph is stupid OP in the beginning, especially if you are top solo. Focus on harassing early game as much as you can. Lvl 6 jungle ganks work like a breeze so try having ur jungle come gank every 3-5min in your lane and coordinate your stuns. If you are top/mid solo and playing against a mage or a weakling, it is not a bad idea to get 2 dorans rings early to maximize harass.
Hope someone out there likes this build! BTW I am a 1550 elo player, and so far this build holds up in ranked games with little problem.