Really underrated move I say.
Its obvious problem is the rediculess landing lag and low priority.
If used properly Dair can be a great way to rack up damage on opponants, a nice gimp/spike or it can even be used to absorb certain projectiles.
Starting with its most obvious use, Rising Dair from the edge. A great way to get back on the stage, rack up loads of damage on the opponant and sometimes even get a KO in all at the same time. Its esspecially effective on characters who don't have any gimpy moves and fat charcaters. However, against some characters you have to be very careful, for example Bowser. Bowser gets hit hard by a rising Dair > Nair from the ledge, you can get him with every hit of the Dair and most of the time he won't be able to escape the Nair, resulting is massive damage (if you get his weak point) and sometimes even a KO.
BUT! Bowser has some deadly edge-guarding options, if he chooses to firebreath and you attempt to rising Dair... you're going to hit that fire before the annimation activates and your going to drop like a stone having lost you double jump.
Bowser can also fortress on the edge, and Dairing into that is going to mean both of you take a hit. Not as deadly as being gimped but not really useful.
Another thing to watch for is powershielding the Nair, sometimes it will be possible for the opponant to powershield the Nair, esspecially smaller characters... and then you're going to get punished for that horrible landing lag... that brings me to my next point.
Using the Dair on-stage; done right it can be a good damage building tool and an excellent way to excert shield pressure. Done wrong it is going to get you punished.
The trick to using the Dair on-stage is to land in a position that gives you enough time to recover from the landing lag, trying to catch the opponant with every hit of the Dair is foolish unless its going to get autocanceled thus allowing a followup Dsmash or unless both you are the opponant are airborne (=P).
The low priority of the Dair means its not ussually a good idea to approach with it, but it can be a good way to punish the opponant. When you are using the million kick on the stage you want to try to land behind the opponant if you can and a good deal of distance from the opponant, this is achieved by using your momentum to fly into them and get a few hits before moving the other side of them and landing as far away as you can.
Another way to utilize the million kick is on opponants above you. This can be really effective on characters who can't effectively protect themselves from bellow (NOT Lucario...). You can catch a falling opponant and trap them in a dair, following them down and immediatly followup with a Nair or Uair for a kill. Another great way to build damage is to rising Dair from bellow a platform the opponant is on, its hard to protect yourself on a platfrom with someone bellow you, the million kick lasts longer than a spotdodge and brings down shields rediulessly quickly.
It also eats certain projectiles... but thats a very situational thing thats difficult to make use of.
Altogether the million kick IMO isn't used enough by most Yoshi mains, it can be really usefull thanks to the awesome damage it inflicts but really its a move that has to be used intelligently, if you don't know when and how to make use of it... the results can be dire.
EDIT: 200th post! W00T!