Nowadays Klepto is the superior choice in most matchups. Klepto (and Kennen) is especially good against opponents who can't out-trade you if you autoattack, such as kiteable melee tanks. It's tough into champions with point-and-click trades like Viktor, Quinn, etc. or high close-range threat like Brand/Zyra/Heimerdinger since they can zone you out of auto-attack range.

It's a decent option, but damage is important too. Perhaps if you're behind and playing more of a supportive role than a carry.

Definitely not, Kennen jungle is atrocious. Stonewall008 put out a video with Ego Ignaxio a long time ago meming it, and it hasn't gotten much better since then.

Kennen-specific tips: try to work up to a fifth auto if you see the enemy jungler coming and can't just E away. Save your E for when you can't be slowed. If you can stun the enemy with cc with auto+Q+W, or E+Q+W if they're already on top of you, you may be able to flash out during the stun. If you build up a huuuuge minion wave and harrassed the enemy laner low enough, you can also fight in the center of your wave and 1v2.

These are more general tips, but memorize common times that junglers gank. For instance, first gank is usually top or mid at around 3 minutes. Assume the enemy jungler is parallel to wherever yours is for awhile, when you ward lean towards that side, etc.

I would definitely say yes, he's always challenging and interesting, but unfortunately not very strong in the meta right now.

With Kennen's ult now with ramping damage, the burst isn't as reliable for proccing Stormraider's. Thunderlord's is great for poke in a lane where you can auto with W charges, which is where Kennen is really very strong.