Pretty standard caster set-up. I like running Teleport and Flash. Teleport for saving towers with shield or to catch up to team fights. Flash for saving my greedy *** or getting the killing blow on the runner.

*Tip* Cast your shield BEFORE teleport, that way when you arrive, you can immediantly explode it on the entire minion wave OR stun+explode on a champion :]

Magic Pen of course.

Mana regen for laning, I hate it when a stun COULD kill an enemy, but I don't have the mana for it >.<

Ability Power, you could switch this out for cooldown reduction, but I like the early game power.

Doran's Ring and a Health Potion, great starting choice, HP, AP, and Mana regen.

If you can, get Mejai's before boots. Mejai's is a great item on AP Sion, since you will either get fed or assist your team dramatically. If you don't like using Mejai's, you could get Rod of Ages or Archangel's Staff, just make sure you rush RoA first OR Tear of the Goddess, AA isn't necessary until later on.

Lich Bane, oh God, this item is AMAZING with AP Sion, you have at least a minimum of 588 AP, an extra 588 damage every 3 seconds? thank you very much :]

Rabadon's Deathcap, staple

Abyssal Scepter, this item is great on Sion too! Gives you AP, Magic Resist, and Magic Pen, IMO, a staple for any caster.

Rylai's Crystal Scepter, again, staple, health and AP :D nice! slow is just a bonus for Sion.

PLease don't downvote until you've actually tried it.

P.S. Can someone give me some tips on how to improve my guide? i.e. how to do the icons in text.