Pantheon has the one of the highest base movement speeds in the game at 355, tied with Master Yi. Use this and his ranged harass from Spear Shot to whittle your opponents down in lane optimally to take full advantage of his strong early game.
Using Grand Skyfall to assist your allies across the map can quickly turn the tides of battle, putting your allies at an advantage.
While in mid air from Pantheon'sGrand Skyfall you can select a target for Aegis of Zeonia and when you land, you will jump at the target stunning from a larger distance (est. 1300) than the standard range (this may be a glitch).
Grand Skyfall makes him one of the best jungle gankers in the game, since he can ignore ward coverage.
Having Exhaust and Flash as summoner spells, along with Heartseeker Strike as your first skill, make for an effective first blood combination when in a side lane with a partner. Those summoner spells also provide two good escape mechanisms.
Building an early The Brutalizer can solidify his early lane dominance and help you take your lane opponent out of the game.
If you find your opponents are escaping you too often, or you're being focused down, a Frozen Mallet will give you some additional durability in fights, and ensure that fleeing opponents are slowed after using Aegis of Zeonia to engage them.
Buying health can help you to survive to one or two combos, but you're going to need health regeneration or life steal to sustain yourself in lane against him. After two combos early game, he can be without mana so he shouldn't be a threat.
Additionally, Grand Skyfall can be used to escape when being ganked (or counter ganks) if you realize it beforehand.
As Pantheon can cast Aegis of Zeonia on you while dropping down in Grand Skyfall and then have it land from outside its normal, using dashes and escapes to avoid Grand Skyfall may have you stunned nonetheless. If you expect to survive his initial burst damage after being stunned, save your escapes for after that instead of getting away from Grand Skyfall. Of course, avoiding the damage from Grand Skyfall all together may be a larger concern - but consider the possibility.
Avoid laning against him if your champion relies on being on low health to reap the full potential of the champion (such as Olaf and Tryndamere) as his Certain Death will cause him to do a lot more damage to you at low heath.