AP Sion is a great all-around champion. His stun helps with first blood, and his laning and farming is phenomenal. You'll find enemies will be avoiding you by mid-game, and you won't have to even worry about there BEING a late-game.

You know the deal. AP and mana.

-DORAN'S RING gives you the mana regen you need to constantly harass early-game, and is a bonus mid-game.

-BOOTS OF SPEED, then SORCEROR'S SHOES (not needed until magic resistance is a problem), for obvious reasons.

-MEJAI'S SOULSTEALER, lots of AP for cheap. If you start snowballing, you'll be godlike.

-Building RAMADON'S DEATHCAP is the start of your real burst damage, and leads to obliteration of minion waves.

-LICH BANE so you have a third damaging ability, along with more AP. Nearly doubles your burst damage.

-VOID STAFF to get through magic resistance.

-ZHONYA'S HOURGLASS to maximize your AP, and giving you survivability with it's active. This item can be substitited with an item of choice.

You'll want your stun first, to grab first blood. Wait in bushes with a teammate. Max your shield first, then stun. Don't worry about your ultimate, because it is only useful to heal. Put a point or two in enrage when you start ramping up your farming.

Clarity is a MUST if you wan't to use your abilities more than once every 3 minutes. Exhaust lets you slow down your enemy enough to stun him again, allowing for an easy kill.

AP Sion is just awesome. Everyone dies around him.