The Mega Candy is an item first mentioned in Celadon Mall (Episode). While making a mental list of what he will need to rescue Pikachu from Team Rocket, Rusty mentions he will need to buy Mega Candies from the Celadon Mall.
They do not make a physical appearence in the series.
The Mega Candy can be assumed to act like a more potent version of a Rare Candy. The Mega Candy is assumed to be able to raise the Pokemon it is given to more than one level, at least two or more per use.