I don't see Mega Blocks or Kre-O as a significant threat to Lego either though mainly because those lines are anchored by themes that Lego won't touch--specifically modern/realistic military themes. Mega Blocks has of course had the HALO line for a few years now along with the new Call of Duty Line released last year and continuing this year. Kre-O has the ***.I. Joe line carried by Toys R US.
I personally don't own any of the COD kits but I have heard very good things about them--that the quality of the bricks is much improved and that the kits are very detailed. The figures are also very realistic and have multiple points of articulation. I have honestly been impressed with some of the images I've seen and if I ever see the tank set on sale/clearance at my Wal-Mart I will very likely pick it up. They have a new Blackhawk coming out later this year that also looks really, really nice.
As for Kre-O, I am a die-hard ***.I. Joe fan and therefore own a complete set minus one convention exclusive of that line. I will acknowledge that Kre-O bricks feel "lighter" than Lego bricks and some of the figure printing is not as detailed, but they also tend to be less expensive (even with Toys R Us prices) than Lego and the line really nails the vintage ***.I. Joe feel. The kits are fun to assemble and, most importantly, they stay together. My boys have a few as well and they hold up to play just as well as their Lego builds do. For what it's worth, it was getting heavily into Kre-O that then led me more heavily back into Lego--I've spent more on Lego in the last 2 months than the last 10 years combined (mostly for my own collection). So maybe some of these competitors are actually helping Lego out . . . Also, not all Kre-O is created equally. The Cityville sets are pretty much @$%^.
I realize that some of what I have said here may be considered blasphemy by some, but that brings me to my last point: while company/product/brand loyalty can be a very good thing, blind loyalty has the potential to be harmful, especially if you are an investor. To automatically dismiss a competitor as inferior without truly assessing what it is they are doing or offering "just because they aren't X" or haven't been as good in the past can come back and bite you later.
There's already been some discussion here about Lego relying more on Chinese production resulting in a "cheaper feeling" product while Mega Bloks may very well be improving (again, I cannot say this from my own ownership of a recent kit one way or the other). Then there are the doors that Lego leaves open to competitors by not producing certain types of kits (military).
Who knows--within the next 10 years most Lego bricks could be made in China and people will be investing in Call of Duty sets.
Finally, if the sharp drop off in Lego sales in 2013 was due to buying limits on investors that tells me that a very significant amount of Lego buying is being done by investors. Which seems a bit bubble-ish to me . . .
Okay, back to work.
P,S.
I've got my next TRU Lego shipment arriving today--Star Wars and Super Heroes--can't wait to get home this afternoon!