Hellooo. This is my Malzahar build!Enjoy~
To avoid confusion;
CotV - Call of the Void; Malzahar's "Q" ability.
MV - Malefic Visions; Malazhar's "E" ability.
NZ - Null Zone; Malzahar's "W" ability.
NG - Nether Grasp; Malzahar's "R" ability.

This is my first guide, so enjoy!

Red Marks- I get Magic Pen for Malzahar's skills to hit a little harder.

Yellow Seals- Since I do tend to harass and use my abilities a lot, I need mana regen. I get Mana Regen per level to solve that.

Blue Glyphs- Malzahar's ultimate is a must need to secure a kill. I feel like it has such a long cool down so I pick up Flat CDR Glyphs to solve the problem.

Quintessence- I get Flat AP Quints because I want to add a little "oomph" to his abilities early game.

9/0/21 Works the best for him. Nuff said.

Flash- A very useful escape mechanism when used correctly. Malzahar needs this to both escape and to initiate.

Ignite- I love this skill. It's a nice finishing off ability and combining Ignite with Malefic Visions is a great combo.

Ghost- A great skill for chasing or running from an enemy.

Teleport- Awesome skill for ganking around the map. Also, great for movement around the map or back to your lane.

For Malzahar's skills, I always rush to max out MV(Malefic Visions). Of course, I put a point in his ultimate(Nether Grasp) every chance I get. I then max out CotV(Call of the Void), and lastly max out his NZ(Null Zone).

I feel like maxing out his MV is better then his CotV because MV has a decent amount of damage and do not require to aim. Also, Malzahar refunds mana every time he kills an enemy unit with MV which keeps him more sustainable in lane. CotV might do more damage and silence, but it consumes a lot of mana and there would be a chance where you might miss.

Your combo is basically;
Q->E->W->R + ignite if needed.
CotV->MV->NZ->NG + ignite.

There are many ways to build Malzahar. Buying the right items usually depends on the situation, so my item choices aren't the same for every game. But my core items are Archangel Staff and Rabadon's Deathcap. Boots are situational so you can either buy Sorcerer Boots(If you feel like you need to hit harder) or Mercury Treads(If the enemy team has heavy CC). I would not recommend Mejai's Soulstealer if you just started playing Malzahar. He kind of takes a while to get used to so in the meantime, go for something like a Void Staff or maybe even buy a second Rabadon's Deathcap.

Catalyst or Tear?- I can sustain myself in lane due to my yellow runes, the refund of mana from MV, and the passive of Catalyst, so I personally like Catalyst early game more. But if you like to harass and is not that skilled at last hitting, then go with a tear.

In conclusion, Malzahar is a great nuker when played correctly, but can piss you off if played the wrong way.