It seems that Mac OS X has (still) this annoying bug. If in Preferences > Keyboard > you set "Key Repeat" to "fast" and "Delay Until Repeat" also to fast, the system won't obey it.
To fix this, open the terminal, run this command (just copy/paste this, no sudo needed):
defaults write -g ApplePressAndHoldEnabled -bool false
Then Log Out. Log in ad enjoy the key repeat working as it should.