Customising axis lines is a bit unintuitive: For one, the decoration to be used in the postaction needs to be specified within the postaction. And applying a postaction to the axes when using axis lines=left (instead of axis lines=middle, for example) requires the use of the every path/.style (similar to what was done in How to specify a name path for the axis in PGFplots). To avoid an infinite recursion in this case, you need to clear the postaction once it's been executed for the first time. This can be done using the nomorepostaction key described in Applying a postaction to every path in TikZ.
Here's your axis generated using
\begin{axis}[
axis lines=middle,
axis line style={my axis}
]
\addplot coordinates {(-0.1,-0.2) (1.2,1.2)};
\end{axis}

And here's the complete code:
\documentclass[border=5mm]{standalone}
\usepackage{pgfplots}
\usetikzlibrary{arrows, decorations.markings}
\begin{document}
\begin{tikzpicture}
\makeatletter
\tikzset{
nomorepostaction/.code=\makeatletter\let\tikz@postactions\pgfutil@empty, % From https://tex.stackexchange.com/questions/3184/applying-a-postaction-to-every-path-in-tikz/5354#5354
my axis/.style={
postaction={
decoration={
markings,
mark=at position 1 with {
\arrow[ultra thick]{latex}
}
},
decorate,
nomorepostaction
},
thin,
-, % switch off other arrow tips
every path/.append style=my axis % this is necessary so it works both with "axis lines=left" and "axis lines=middle"
}
}
\makeatother
\begin{axis}[
axis lines=middle,
axis line style={my axis}
]
\addplot coordinates {(-0.1,-0.2) (1.2,1.2)};
\end{axis}
\end{tikzpicture}
\end{document}
decoration, you're a lot more flexible: you can change the arrow type without having to declare a new arrowhead, you could use a different colour for the tip, and you can set the size just as well by usingline width=<size>. – Jake May 16 '12 at 10:29y axis line style={-{Latex[length=3mm,width=2mm]}}. Hope it helps too. – Gabriel Jun 11 '16 at 15:50