Reaching the Final Battle
To reach Malus, head south. You need to go roughly the way you went to reach the fourth colossus (you'll see the head of it on your map). You need to head through the pass to the east of the plateau where you fought the very first Colossus.
Keep going south, and head across the rocky plains to the great door in the mountain. Once you get there, stand on the circular plinth, and raise your sword to reflect light. Aim the beams at the silvery hole in the door, and it'll open. Get on Agro and ride on. There's a save point up on a ledge up ahead.
Stay on Agro and ride up the stairs. At the top of them, there's a bridge leading across a chasm. Agro, with you on the back, will jump to the bridge. It'll start to crumble, as you race across it. You make a jump, and the rest of the bridge begins to fall. You're thrown off to solid ground, but Agro doesn't make it in time, and tumbles down to the water below.
You now need to climb the rest of this enormous cliff. The path is pretty straightforward, and eventually you will reach the summit. There's a storm. The skies are black. And the final Colossus, who is far too big, is standing in the distance. The final battle begins.
Malus - The Final Colossus
This is the most time consuming of all the colossi by far. One of the most difficult aspects of Malus is simply reaching him. He stands in the center of a huge dais covered with small monoliths and bunkers. From his hand he shoots what can be best described as an energy blast at Wander.
Because of this, you need to dart from cover to cover before he can hit you. Start by moving up to the column ahead, which should provide protection. When he's fired move right of it behind some rubble. Continue waiting for him to fire and running right until you are able to jump down a tunnel. From here it's fairly straight forward and you simply need to repeat this in something of a zig zag fashion until you come up from a hole underneath Malus' legs. If at any point the energy blasts hit you (he can reel them off pretty quickly) you will be blown backwards a fair distance, as well as losing nearly a third of your health and being concussed for a pretty long time. The closer you get, the harder it is to get between safe spots.
From this point on the only thing that can really hurt you is falling from Malus, who is quite massive. Walk around to the back of Malus and begin to climb his, for lack of a better word, skirt. Continue climbing to the exposed fur at the small of his back. It's quite a long climb. When you reach the fur, climb on and stab him.
Malus' hand will come around to inspect the damage. Jump and grab onto the fur on his hand and wait until it swings around in front again. You can attempt to climb up his hand whilst he brings it back around to the front. It is important to be careful at this point: Malus will frequently attempt to shake you off his wrist, and being thrown from this height can be fatal. In between his attempts to flick you off, he will repeatedly turn his hand to look at you, which makes climbing off rather difficult. Run up his forearm the moment you're on top of the hand and your path looks stable, and grab onto his bicep. Stab him.
Note: There is a shortcut. Once here, you can jump directly to the ledge on his shoulder if you time it correctly, saving yourself a lot of time and effort.
This part is very likely where you will sustain damage, as his right hand comes around to inspect the damage on his bicep. The jump to it must be placed very carefully, or else you'll fall. From this height, you can lose half your health instantly from the fall, not to mention having to go through the ordeal of climbing Malus' skirt again. Wait until his hand has resumed its previous position and stab it repeatedly. He will now hold it still, which will give you both an opportunity to regain stamina and proceed to the next part of his body. Draw your bow and shoot him in the left shoulder. Use the sword to pinpoint the exact spot. Hold on.
Malus will move his right hand to cover his left shoulder. Jump off and climb from his shoulder, to his back, and finally up to his head. This is the only place where you can do any real damage to Malus, but it is very difficult to place a hit. Do not focus on charging up a very strong stab. He thrashes too frequently and you will always be interrupted. Instead, many quick stabs will make this go by much faster. If you're finding yourself low on stamina, hope you have enough left to wait until Malus stops thrashing, then work your way down to his shoulders, which are far more stable to allow yourself to rest. In between thrashes you have quite a long time to rest. Eventually, you will have done enough damage and Malus, the final colossus, will fall.
Alternate method of attacking Malus: You could almost consider this an exploit, but it's really not. Once you reach Malus' shoulders/head there is an easier way to damage him rather than quick, uncharged stabs. First, go stab (or shoot with an arrow) Malus' left shoulder (near/on the same spot used to reach his back/head). His hand will move there again, but right after you damage his shoulder, quickly run up to his head, hold on to his vulnerable spot, and charge up a strong stab. You can get anywhere from a half to fully charged stab. Then just go back to his shoulder and repeat. This makes the final steps to defeat Malus much quicker and easier.