Although Pixies appear to "fly", they are only capable of hovering about four tiles above the ground at most, limiting them to a similar horizontal "jumping" range as a Zombie. However, Pixies can also "climb" vertical walls in order to reach the player, limiting the effectiveness of pit traps.
Pixies' movement patterns complicate farming, as they float above shallow pools of lava and their bobbing movement makes it difficult to hit them with stationary traps. Minions with close-range attacks, such as Spiders, Ravens and Deadly Spheres, can mitigate this difficulty.
Pixies can drop the Megaphone and Fast Clock at the same time. When one of them is dropped (1/200 chance), there is a 1/100 chance to drop the other one as well.[1] Therefore, the chance to drop both is 1/20,000.
Trivia
The Fairy Bell summons a Fairy which looks similar to a Pixie, and serves as a light source to players.
The Pixie's design is a nod to a fairy design from The Legend of Zelda, in which some fairies are spheres of colored light with wings.
The sound the Pixie makes can sometimes still be heard a few seconds after it is killed.
↑Information taken from the PC1.3.5.3 source code, function NPCLoot() in Terraria.NPC.cs There may be inaccuracies, as the current PC version is 1.4.4.9.