First off. Panth is an initiator, that's his best role. He's very good at starting teamfights and ending them. Now this explanantion is for why I have what I have for the final build so you can follow along while I explain the rest. So we have the Bloodthirster for the life-steal and the nice little shield it gives you when at full health. This is going to come in handy alot. Secondly, we have the Ravenous Hydra which gives us even more life-steal and wave-clear, something Panth desperately needs. As our third item we have the Zhonya's Hourglass which is AMAZING with his ult, you can already imagine. Just use its active as you land, because you know you are the initiator. Next we build the Banshee's Veil which gives us very good defense with magic resist and health. Let me talk about the passive of this item once were all done. As for boots because you are Pantheon you're going to need some sort of cooldown reduction, so we buy the Ionian boots of Lucidity, and we get the furor because anyone escaping a teamfight would just be very unfortunate. And finally the Rylai's Crystal Scepter to finish off with even more health and better than that, more ability power for that ult and stun of yours.

Yes, finally the end-game explanation for this odd build. Pantheon's passive gives you a block for the first basic attack, the Banshee's Veil gives you a block for the first skill used by another champ, the Bloodthirster gives you extra shield and health (the Ravenous Hydra compliments this passive with more life-steal) and the Zhonya's Hourglass to not take damage after landing in the center of your enemies and initiating teamfights with out losing almost any health. So basically, just pop the Zhonya active right after landing the ult (only in teamfights, otherwise you may let the enemy get away) and makes sure your Bloodthirster shield is up alng with Banshee's Veil, and lastly make sure your passive is up as well. That way you are THE ULTIMATE INITIATOR.