What I discovered to be a nice solution to high speed collision problems.

Say you have a wall, and say you have a ball, you shoot the ball at the wall and it goes right through. I think I found a solution and currently works well in the latest hole of my miniature golf game, and should suffice for high speed cases until CCD is implemented.

1). Make your wall
2). Make a plane, delete using faces only, extrude.
3). Orient it so the sides of the square tube is diagonal to the wall edges.
4). Set it to invisible in the UV editor menu, this is important so they’re not rendered.
5). Duplicate it
6). Move the duplicate along the wall, move it down about a third to a fourth of the diagonal length of the tube, perhaps even move it half the length
7). Continue until you do the whole wall.
8). Run a high speed object into it.

In my testing on the hole it didn’t go through the wall, I also rigged the floor with this diamond setup and fast moving objects and it worked well. I also rigged the Hole 6 cliff and it works well there too.

EDIT:
Here’s a .blend file showing what the rig does in my mini-golf game, very stripped down version of the game, try to shoot at both walls at maximum power and height, left doesn’t have the diamond rig, right does.
http://gallery.mudpuddle.co.nz/view_photo.php?full=1&set_albumName=Blender-game-screens&id=hsce

Eh, apparently my golf game is the only place where this is working, I’ve been testing it from an empty scene and the launch script from the golf game and apparently in a few cases the rigged wall does better then the plain wall, but with the rig sometimes I do as much as remove a few faces that is not in the ball collision area and the collision result is different. Some speed values had it bounce off and some lower values have it not work so well.

GE collision seems to be sort of wierd in this respect. At least CCD is coming.

I found out using convex objects for your collisions with convex bounds set instead of static triangle mesh provide much better and took much higher speed collision when a ball is launched towards it then the method I was using earlier, it’s interesting, perhaps there should be a concave volume mesh bounds so it takes the volume of the mesh instead of just the surface.

There is one caveat though, I realize this will require large amounts of objects for large detailed worlds, so best to use convex bounds on geometry instead in areas where high collision speeds are needed.

tough you could rise up the physic tic rate… of course it might take a few more fps but it will handle high speed collision much better
GameLogic.setPhysicsTicRate(something like 180for exemple)