Burn Decks are designed to "burn" the opponent's Life Points down to 0 with waves of cards that inflict Effect Damage (instead of relying on Battle Damage, like an Aggro Deck). These Decks are usually slow (with perhaps just 1000-2400 damage per turn) and are usually combined with Stall Decks to maximize inflicted damage while protecting the user's Life Points.
An effective way to burn your opponent quickly is to use monsters that can attack your opponent directly while protecting yourself with stall cards. Another version of this is to use Shadow Delver's effect to allow Level 4 or lower DARK monsters to attack your opponent's Life Points directly. By using monsters such as "Prometheus, King of the Shadows" or any high Level DARK monster equipped with 1 or more "Demotion", this can become an OTK.
This is a Deck that heavily relies on dealing effect damage while also restricting your opponents attacks. The main cards needed for this Deck are "Lava Golem" and "Raging Flame Sprite". It mainly consists of cards that can easily deal a lot of effect damage while also protecting your monsters from destruction. Cards with extremely high defense work perfectly for this kind of Deck. Cards like "Prime Material Dragon" or "Black-Winged Dragon" can cause a lot of trouble for you, but cards that can instantly stop their Summon or attacks can work perfectly against them. You may want to add a few XYZ Monsters, for Gravity Bind and Level Limit - Area B support.
This Deck focuses on more sustained damage using Spells/Traps that chain together. While "Chain Strike" is certainly part of the Deck's strategy it is by no means impossible to win without it. Instead of linking little sparks to each other and burning your opponent down in one blazing combo, you force a gridlock using stall cards so that attacking is not a viable option for opponents. Chainable stall cards such as "Threatening Roar" and "Swift Scarecrow" can be used in supplement to more reliable stall cards such as "Gravity Bind" and "Marshmallon". "Ojama Trio" works even better here by shutting down monster zones (but be careful of tuners that will turn them into a powerful synchro!). "Lava Golem" and "Volcanic Queen" are two of the best cards for this deck since they deal consistent burn damage, get rid of any nasty monsters on the field like "Prime Material Dragon" or "Great Shogun Shien", and either can't attack through stall cards or get their painful attacks returned by "Magic Cylinder" and "Dimension Wall". By also running many of the normal burning and drawing cards of a chain strike deck, winning by the second or third turn still very easily happens.
This Deck can inflict a huge amount of damage using "Dark Room of Nightmare" and "Earthbound Immortal Chacu Challhua", also you can use dark monsters to add a real block to your opponent, cards on this Deck are focused in Summoning a lot of times so you really want cards that can do that. Use some tokens to stall your opponent while you destroy your opponent's Life Points, you may also want to block your opponent's attacks and destruction effects so you should add "Magic Cylinder" and "Stardust Dragon". Now the perfect Synchro to stop your opponents' effect damage is "Black-Winged Dragon". Focus on Special Summoning
The Bubbleman Burn Deck is a very fast version of the Burn Deck, which uses cards like "Elemental HERO Bubbleman" and "Card of Sanctity" to draw Normal or Quick-PlaySpell Cards which inflict damage. These Decks are made up mostly of one-time burn cards and self-milling cards that go to the Graveyard after they are used, making "Bubbleman" and "Card of Sanctity" more playable. Stall cards are not recommended, since the drawing effect of "Bubbleman" won't trigger if there are cards on the field. However, some people do run single use trap or quick-play spell cards like "Threatening Roar" or "Magic Cylinder" that you always set last, and can be used as back-ups when you are forced to discard. The only trap card specifically recommended is "Magical Explosion", which is often used as a finisher in this Deck.
A newer type of Burn Deck is the "Chain Strike OTK", which is designed to win by the first to third turn. This is accomplished by starting a chain with, for example, "Just Desserts", continuing with, for example, "Ojama Trio", and adding Chain Links until a well-timed "Chain Strike" can generate enough burn damage to win. These Decks are generally built with few monsters, resulting in Decks with about six monster cards, and burn or drawing cards for the rest.
This deck works around making your opponent pay life points for every action. As your opponents life points start reaching zero, they stop making plays, which forces a few high damage cards to be used like "Ceasefire"and "Just Desserts", or continuously damaging cards like "Minor Goblin Official", "Nightmare Wheel", or "Lava Golem". This deck works best adding stalls cards, forcing your opponent to waste most of their efforts destroying either your stall cards or burn cards, hopefully not both. Cards that can stall without completely negating attacks like "Ordeal of a Traveler", "Mirror Force", or "Waboku" over those that completely stop attacks likes "Gravity Bind" or "Swords of Revealing Light" to add in the damage from "Toll".