I find that in general, trying to run in circles around people kills them well. When going up against a solider or demo man, I try to run at them at an angle or run around them because it makes it harder for them to kill you.

Also, if a sentry gun is close to you, you have a good chance of killing it. The circle effect works on sentries too, since pyros are pretty fast. If the sentry is too far away though, it will kill you before you can get close. I find times when you can come up behind the sentry gun and run around it to be the best way to kill it, or if you can jump behind it. For example, on the second map of dustbowl when people are defending the last point, and there is a sentry gun in the corner on the right (the most common place to put a sentry gun in that area) as long as there aren't any other sentries, it is possible to jump off of the ledge, end up behind the sentry, and destroy it.

The chances of you being able to kill a sentry in this manner though, tend to be 50/50. It really all depends on the situation and placement of the sentry gun, but it is really fun when you do that and the exclamation of the engineer is "How did you DO that?!" or "That's impossible!"

Also, I think pyros need to be careful about their medics. Since pyros ARE the suicidal class, it can be a bad idea to tow a medic around, because they are likely to get killed if you don't have uber or a specific target in mind. I think that if you are going on a suicide mission too that the medic should be informed.

Then again, Tiberius voted me the least friendly person to medics, so perhaps I'm the only one with a bad habit of getting medics killed....