One simple way to go about it:
ParametricPlot[{Cos[u], Sin[u]}, {u, 0, 2 Pi}] /.
Line[l_List] :> {{Red, Polygon[l]}, {Black, Line[l]}}

If you want the border to be a tad more prominent:
ParametricPlot[{Cos[u], Sin[u]}, {u, 0, 2 Pi}] /.
Line[l_List] :> {{Red, Polygon[l]}, {Directive[AbsoluteThickness[3], Black], Line[l]}}

An alternative would be
ParametricPlot[{Cos[u], Sin[u]}, {u, 0, 2 Pi}] /.
l_Line :> {EdgeForm[Directive[AbsoluteThickness[3], Black]], Red, FilledCurve[l]}
(after some prompting by Sjoerd)
All three snippets act by replacing any Line[] object produced by ParametricPlot[], via ReplaceAll[] (/.) and RuleDelayed[] (:>). With the first two, the instruction reads as "replace any Line[]s present with a Red Polygon[] (for filling the inside) and a Black Line[] (with a thickening through AbsoluteThickness[] in the second version)", the Polygon[] object coming first in the right-hand side of the RuleDelayed[] so that it is rendered first before the Line[].
The third version makes use of the FilledCurve[] primitive, which is new in version eight. EdgeForm[] is used to make the edges of the FilledCurve[] object black and thick, and Red colors the filling red.
ParametricPlot[], but I presume you are aware of theCircle[]andDisk[]primitives? – J. M.'s missing motivation Sep 19 '12 at 08:49