Pinsir used to suck. Well, maybe that's a bit harsh. It had some good points, such as a respectable base 125 attack and decent base 100 defense, but it always lived in the shadow of its cousins Scizor and Heracross, whose secondary typings not only granted them a neutrality to stealth rock but also gave them a potent STAB. Nowadays that's all still pretty much true, but Game Freak finally decided to stop pissing on Pinsir by giving it a Mega Evolution, which is arguably more potent than its bug type brethren. With more speed, more bulk, more power, and a kickass ability that gives it even more power, Mega Pinsir can be a huge threat.
There is a bog standard Mega Pinsir, and this is it:
Pinsir @ Pinsirite
Ability: Hyper Cutter/Mold Breaker -> Aerilate
252 Atk / 4 Def / 252 Spe
Jolly Nature
-Swords Dance
-Quick Attack
-Return
-Earthquake
There it is, the one Mega Pinsir that you will see all the time. In general, Hyper Cutter rather than Mold Breaker tends to be better due to stopping Gyarados, Landorus-T, or Mega Manectric's intimidates from cutting your attack on the switch before you Mega Evolve. Mold Breaker has a minor niche of being able to nail Rotom-W and Gengar with Earthquake on the switch, but in general you'll be Mega Evolving ASAP so it's very much moot point.
Swords Dance is obvious and should require no explanation. Quick Attack lets you deal with faster threats such as Scolipede, Keldeo, and weakened threats, and with Aerilate on its side, it's a decently powerful priority move. Return, on the other hand, hits with an absolutely ridiculous amount of power after Aerilate is factored in that it's just ridiculous. To put it into perspective, an unboosted Aerilate return will 2HKO physically bulky Eviolite Chansey more often than not. And if it's set up SD? Goodbye, see ya.
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Eviolite Chansey: 328-387 (46.5 - 54.9%) -- 64.5% chance to 2HKO
+2 252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Eviolite Chansey: 655-772 (93 - 109.6%) -- 56.3% chance to OHKO
Not bad for a non-SE move. Earthquake is necessary to prevent Aegislash from walling it into oblivion. Mawile is nigh untouchable without Earthquake as well, and Earthquake can deal with Tyranitar as well. This is the absolutely standard set that you will see about 90% of the time.
That said the standard set has a few gaps in its coverage. Try as it might, it can't break through Skarmory, who can phase it out or simply KO it with Brave Bird.
+2 252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 232+ Def Skarmory: 142-168 (42.5 - 50.2%) -- 0.4% chance to 2HKO
0 Atk Skarmory Brave Bird vs. 0 HP / 4 Def Mega Pinsir: 186-218 (68.6 - 80.4%) -- guaranteed 2HKO
Without Stone Edge, things like Thundurus, Thundurus-T, and Zapdos resist its STAB, but it should be noted that both of the frail Thundurus forms can be 1HKO'ed by a +2 Return due to the raw power that it wields. Pinsir is outsped by Thundurus-I however, and definitely doesn't want to eat a priority Thunder Wave.
252 Atk Aerilate Mega Pinsir Return vs. 4 HP / 0 Def Thundurus: 165-195 (55 - 65%) -- guaranteed 2HKO
252 Atk Aerilate Mega Pinsir Return vs. 4 HP / 0 Def Thundurus-T: 165-195 (55 - 65%) -- guaranteed 2HKO
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Zapdos: 99-117 (25.7 - 30.4%) -- 0.9% chance to 4HKO after Leftovers recovery
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 0 Def Zapdos: 141-167 (36.7 - 43.4%) -- 99.1% chance to 3HKO after Leftovers recovery
+2 252 Atk Aerilate Mega Pinsir Return vs. 4 HP / 0 Def Thundurus: 331-390 (110.3 - 130%) -- guaranteed OHKO
+2 252 Atk Aerilate Mega Pinsir Return vs. 4 HP / 0 Def Thundurus-T: 331-390 (110.3 - 130%) -- guaranteed OHKO
+2 252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Zapdos: 198-233 (51.5 - 60.6%) -- 91.8% chance to 2HKO after Leftovers recovery
+2 252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 0 Def Zapdos: 283-333 (73.6 - 86.7%) -- guaranteed 2HKO after Leftovers recovery
Rotom-W can be a headache as well, resisting its flying STAB while being immune to Earthquake, and frying Mega Pinsir with Volt Switch if not just burning it with Will-o-Wisp. X-Scissor may seem like an option to hit Rotom-W decently hard but nobody really ever uses X-Scissor due to the lackluster coverage it offers.
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 0 Def Rotom-W: 117-138 (38.4 - 45.3%) -- guaranteed 3HKO after Leftovers recovery
Unaware users like Clefable and Quagsire may seem tempting choices to answer a Mega Pinsir who has set up SD, but both are 2HKO'ed by the raw power that Aerilate Return wields, even with max physical bulk, so they can't switch in.
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Clefable: 217-256 (55 - 64.9%) -- guaranteed 2HKO after Leftovers recovery
252 Atk Aerilate Mega Pinsir Return vs. 252 HP / 252+ Def Quagsire: 198-234 (50.2 - 59.3%) -- 79.3% chance to 2HKO after Leftovers recovery
Talonflame DEFINITELY can't switch in due to its frailty, but as long as it's running at least 208 speed EVs, it'll outspeed Mega Pinsir's Quick Attack and obliterate it with Brave Bird, making it a great check.
252+ Atk Talonflame Brave Bird vs. 0 HP / 4 Def Mega Pinsir: 270-318 (99.6 - 117.3%) -- 93.8% chance to OHKO
Of course, it goes without saying that Pinsir has a nasty stealth rock weakness which becomes even worse when it Mega Evolves. Keeping rocks up goes a long way towards getting rid of Mega Pinsir. Burns via Will-o-Wisp ruin its day as well. If all else fails, you can try hitting it with powerful special attacks such as Latios's Draco Meteor, but you have to be wary of Quick Attacks, especially SD boosted ones.
In general though, Pinsir, like Charizard, is sort of a rags-to-riches story of a forgotten Pokemon who was made HUGELY threatening due to its mega evolution... even if it aesthetically doesn't change all that much.