I've just come back to magic after a few years (mirrodin was the last set i played) and was surprised to see almost no one using megrim. I built a red/black deck around Megrim, Burning Inquiry and kederekt parasite.
If you get a perfect hand it'd be:
turn 1. swamp > kederekt parasite
turn 2. veinfire borderpost (to make KP do its job) > swamp > kederekt parasite
turn 3. mountain/swamp (pref mountain) > megrim
turn 4. mountain/swamp (pref mountain) > megrim or KP if you have either, if not, burning inquiry. if you're lucky you'll pick up another burning inquiry and can do it again.
With 2 KPs and a Megrim BI does 12 damage. That could be a turn 4 kill if you picked up 2 BIs.
Even with 1 KP and a Megrim, that's 9 damage. I've killed people as fast as turn 5 so far. The problems i've run into so far are numerous.
Guardian Seraph. He RUINS this deck. Megrim damage cut in half. KP does nothing. 4 toughness make him just out of lightning bolt's reach, unless you have 2 in hand to play at once. You kind of need terminate or doom blade.
Second thing is getting that red permanent out into play for KP to work and then keeping it in play. Veinfire borderpost is fantastic, but you won't always have it, and a naturalize, shatter or oblivion ring (RAWR @ Oblivion Ring) will simply render your KPs useless. Right now, i also have Sanity Knawers, it works well with megrim and can really mess up their next play if you get lucky, but it is also easily killed off.
Pyroclasm and Infest make me a sad panda as well.