Pantheon is poorly played by many people who believe their build is "pro," like those BF sword spammers. Pantheon is NOT Kat, so don't build him like her. Overall, Pantheon is a very good melee DPS due to his amazing skills.
Skills
Spear Shot
Great for griefing throughout the game (especially early), but also good for over-the-wall snipes or any snipes in general.
Aegis of Zeonia
Kind of a buggy jump/stun, but still good. Don't try to use it over walls, it doesn't work.
Heartseeker Strike
Amazing farm power and amazing for fights. Try to use Heartseeker right after stunning an enemy with Aegis.
Grand Skyfall
This skill generally sucks without Flash. Once the ring has fully formed, you can use Flash to move where the impact is going to center without moving the ring.
Play-style
Pantheon is an amazing griefer early game due to Spear Shot, but he is still a glass cannon, so don't get stupid.
Early
Grief the heck out of your enemy lane-mates if it's safe to do so. Try to only last hit minions so you're not exposed to un-necessary damage. Avoid wasting all your mana away.
Items: Brutaliser, Berserker's Greeves, Phage, (Sheen).
Middle
With your Phage, you're not out of glass cannon status, but it does add a huge bonus. By now, the all-mid or 5-man gank squad faze may have begun. You are NOT an initiator, not even close, so don't go suiciding in. Try to pick off the enemy casters in team fights.
Items: [Sheen], Bloodthirster, (Trinity Force).
Late
By now, you should be a good melee carry, so try to be cautious about initiating team fights. If you must initiate, be sure you have someone else with a stun ready to help after you Aegis the target.
Items: [Trinity Force], Infinity Edge, Frozen Mallet.