Items
When considering how to build Sion item-wise, I focus on three facts.
1. Sion's nukes are expensive.
2. Sion has very little mana.
3. Sion is melee, and thus must expose himself when last hitting.
As such, I swear by opening with a 
Doran's Ring and then buying two more Doran's Rings on my first back, ideally with 
Boots of Speed. The AP is almost as good as an amplifying tome, and the mana regen/HP are invaluable. With these three items, you can begin harassing to your heart's content. You can also quickly get to the point where your shield can one-hit kill ranged creeps, allowing you to quickly farm toward the rest of your items.
Late-game, I like to have access to a 
Deathfire Grasp in order to give myself a third nuke. As such, I grab a 
Kage's Lucky Pick next. If I'm being focused, I may opt for sorceror's shoes first just for the added movement speed.
Next on the list is the item that takes you from an occasionally killing nuisance to a multi-killing nightmare - 
Rabadon's Deathcap. Just watch as your AP soars sky-high. By now, if you need to sell one of your Doran's Rings to afford an item, don't hesitate. Your mana pool should be filling out, and the rings did their job by getting you the farm and kills you needed early game.
We now move to 
Sheen and subsequently Lichbane. Some have argued against Lichbane because it requires Sion to advance into melee range. My response to them would be that 
Death's Caress already gets you fairly close to melee range. Once you have lichbane, the ideal gank should look something like this - activate Death's Caress, run out/flash out and hit them to proc lichbane, stun them with 
Cryptic Gaze, hit them again for a fresh lichbane. Endgame, this should do close to 3k damage.
Having finished lichbane, we turn our attention to Deathfire Grasp. Reducing your cooldown is nice, fixing the mana regen lost by selling rings is nice, and the nuke it provides is NICE. It's not at all unreasonable for this bad boy to be hitting for 30+% of the enemy's hp total -after- mitigation. You should always lead with this nuke, as it's based on the enemy's current HP. Put it in item slot 1 so that you can easily use 1 as a hotkey.
Continuing on the theme of cooldown reduction and mana regeneration being nice, grab another 
Fiendish Codex and develop it into 
Morello's Evil Tome.
Finally, to deal with all of the magic resistance a smart team will have been building against you, get a 
Void Staff. There is no better item in the game for dealing with high levels of magic resistance. You can get this item earlier if it seems like they're focusing particularly hard on magic resistance.
Optional Items
Frozen Heart is a nice substitute for Morello's Evil Tome if you're up against a significant amount of AD carries. Likewise, 
Force of Nature can be handy against a large number of AP carries. If your up against a mixture but definitely need defense, I recommend 
Guardian Angel. By this time your shield should be able to absorb close to 1k damage; being able to activate it right after reviving can often be the difference between getting away or just dying again.
If you're getting harassed but not lethally focused, consider a 
Will of the Ancients over Morello's Evil Tome. This goes double if you have other AP carries in your party. The spell vamp from hitting a full minion wave with Death's Caress can be huge, even after the reduction for it being an AoE spell.
Skill Sequence
I consider Sion to be defined by Cryptic Gaze and Death's Caress. This is the one-two punch that will carry an AP Sion through most of the game.
I always open with Cryptic Gaze if I have a lane partner, or Death's Caress if I don't. If you're alone, you're not going to be ganking at level one, so having Death's Caress to protect you from harassment during last-hits is precious. If you're not alone, then a 1.5 second stun on a squishy can lead to a quick first blood, especially if you have 
Master Yi or 
Tryndamere in your lane.
Continue to press these spells until both are maxed out. Ignore 
Cannibalism at level 6; it has a function, but the time for it is not yet here. If you're stomping faces left and right, consider picking up one level of 
Enrage before maxing out your two main nukes. The max-HP stacking effect of Enrage becomes more useful the earlier you get it, but it shouldn't be replacing a -necessary- nuke upgrade.
Once you have your nukes maxed out, pick up the two levels that should now be available in Cannibalism. This skill is your tower slayer. An AD Sion can almost base his entire build around Cannibalism, but we cannot. However, even with 0 AD items Sion's AD is quite high for a "Caster", and the attack speed boost granted by Cannibalism can tear down a tower in a hurry. This becomes exceptionally true once you have Lichbane. Activate Cannibalism, strike the tower with Lichbane, activate Death's Caress, strike the tower with lichbane again. Pop Death's Caress as soon as possible, and you can hopefully use it to get a third Lichbane hit on a tower. This is why Sion manages to be an excellent pusher even when built as an AP nuker.
Summary
Step 1: Buy 3 rings
Step 2: Nuke everything in sight
Step 3: Accidentally their entire team
Step 4: ??????
Step 5: Profit.
Build Guide
Discussion (3)
Sion. I've been playing LoL for about a year and a half now, and this bad boy has been my best champion for most of it. A well built 
Annie, teamfight like Allistar, tank like 
Shen, and push like 
Greater Mark of Insight x 9 - As your nukes creep toward the 1k damage range, every point of magic resistance becomes a big deal. Get rid of as much as you can.
Greater Seal of Defense x 9 - Some prefer the flat armor/mres runes, but by mid-game these have surpassed them. You can mix/match, or go straight flats, as your personal style dictates.
Greater Glyph of Shielding x 9 - See above.
Greater Quintessence of Potency - 15 AP, plus items and masteries, makes you a -fantastic- harasser by level 4-5. You can also consider scaling AP quints, or 
Greater Quintessence of Insight.
Archaic Knowledge. The benefit from 
Presence of the Master cannot be overstated. At the same time, 
Intelligence will benefit your lategame DPS tremendously. 
Awareness allows you to outlevel the opposition, particularly at lower levels where your nukes are developing.
Exhaust can be handy for catching a fast hero or for cutting down a hero's AD. I just feel like it's better for a right-click-win hero like 
Ghost would replace flash, and there are good arguments to be made that ghost lasts longer and makes it much harder for the ganker to catch up to you. My problem with it is that one well placed stun stops your ghost cold, while flash is more likely to keep you out of stun range altogether.
