Pros:
Great burst potential
Good in team fights or 1v1
Strong cc
Great farmer

Cons:
No escape mechanism
Mana thirsty

Quints:
You can use HP Quints if you want, but I prefer AP.
Marks:
Magic Pen is your best bet here.
Seals:
You need MP5 a lot more than you need any kind of defense.
Glyphs:
I use AP/lvl here, but if you don't think you're going to be getting blue buff very often then you might need to consider CDR or CDR/lvl.

10/0/20:
Pretty obvious here, take the spell pen and ignite mastery in offense. And your caster masteries in Utility.

9/0/21:
The typical caster setup, take this if you swap ignite for flash or clarity.

My Choices:
Ghost - Great skill to have, it gets you into position for kills, or gets you out of a fight alive.
Ignite - It's a DoT, 3/4 of your abilities are DoT's. Synergy is a good thing. Plus it has a healing debuff for the swain's/irelia's.

Optional:
Flash - Swap this with Ignite for more survivability, or with Ghost for the early kills.
Clarity - If you can't seem to keep your mana up, this is an alright choice, just be sure you take Ghost or Flash with it.

Boots:
You've got 3 choices here: Sorc/Lucidity/Merc Treads
Sorcerer's Shoes - Spell pen, enough said, more damage is more damage.
Ionian Boots of Lucidity - A great chose also, this + blue buff gets you pretty much maxed out CDR.
Mercury's Treads - Only ever get these if you're going against a cc heavy team that's somehow targeting you.

Survivability:
Early game I like to rush either a Rod of Ages or a Rylai's Crystal Scepter. The Rylai's Crystal Scepter gives all of your abilities a 15% slow (they're all AoE or DoT) which helps when chasing someone down, escaping, or landing Nether Grasp while they're still inside Null Zone. Where as the Rod of Ages gives you more hp, slightly more AP, and a large mana pool to pull from.

Damage:
An early Rabadon's Deathcap, after your Roa/Rylai's, is a must. Once you've got those it's all about maximizing damage and survival. Get either a Void Staff, if they're stacking mr, or an Abyssal Mask if they aren't. Your last two items should pretty much always be a Banshee's Veil and a Zhonya's Hourglass.

First off, you want to be all by your lonesome, whether that mean you take mid or top doesn't really matter.

You're going to want to play pretty passive at first, using Malefic Visions whenever your someone gets in range. Try to keep your mana up though, if you have to back off a bit then do it. Once you hit level 5 you need to get them to around 350-450 hp and keep them there, and keep an eye on your exp bar, if you can land Malefic Visions Ignite and Nether Grasp the second you hit 6, they have no chance to survive and you should have first blood.

Tips:
Don't push the lane, you probably won't survive a gank if anywhere near their tower.
You don't have to play super aggressive, just last hit minions and harass whenever they get in range.
Get a solo lane, you aren't nearly as effective in a duo.
**Once you hit 6 you can push your lane with Malefic Visions and gank if top/bot is pushed.**

This is where you truly shine as Malzahar. Unlike other burst casters you love team fights as opposed to small skirmishes here and there. Now assuming you have a competent team your tank should initiate, your job is simple, Null Zone where you can maximize your damage(aim for the high hp bars), Use Call of the Void on the casters in back, and use your Ignite Malefic Visions Nether Grasp combo on whoever is doing the most damage to your team.
I want to emphasize that last part, the part where you use your Nether Grasp on whoever is doing the most damage to your team. Sure you could use your Nether Grasp to get a kill on the support, or the ranged carry, and if they're the ones killing your team then by all means, shut them down. But you want to primarily shut down whatever is preventing you from winning, your suppression + a little focus fire should accomplish that nicely.

After your initial burst just do what every caster does, wait for skills to come off cooldown and start picking people off.

2/1/11:
Published

2/22/11:
Changed item build
Changes to most every section
Lots of rewording