Edit: 5/1/11 Changed up item purchases a tiny bit.

This is my first guide so be gentle with me =P . Please comment, leaving some feedback on what to look into(suggestions). +1 if you like / -1 (leave comment explaining why).

When they announced Rumble i was quite excited and upon seeing the champ spotlight, it hit me, why build him tanky when he has so much potential as a DPS. His passive scales well of AP and with the increased attack speed, you can get more hits per overload. Allowing for maximum damage output.

For my runes, i thought it would be simple to get Magic Pen marks and quints because imo, they give the most bang for your buck throughout the entire game. As for seals, the increased attack speed is great early game cause it allows for you to get off more damage during your early game overheats. The reduced CD glyphs allow for you to get to your overheat faster along with, well, having your abilities off CD as often (which is always good).

To be honest, the masteries all up to you. Id experiment with whatever you want. For me, i enjoy mostly cause i get a higher advantage of surviving longer in lane. Along with the reduced damage done to you by 4% which is quite good imo. Again these are all preference wise, you can go Offensive/Defensive/Utility. Whichever best suites what you wanna do / what situation.

Ghost: Great for chasing down enemies and getting your slow on them
Ignite: Great for any time in the game with the lowering of healing done, + the damage from it is great for getting your first blood or getting any kill.
Exhaust: Helps a bit with those pesky characters who are wailing away at you, makes it a little easier to handle some people.
Teleport: Potentially helpful in some situations, there is better out there.
Flash: Though Rumble is a little slow, you won't really need the help of flash because you should be luring them into you to ult.
Rally: Isn't viable due to its very VERY long cooldown
Heal: Pft, dont make me laugh.
Revive: Nah, you should be pwning to hard to need revive. Also you have masteries that lower you death time anyways.
Clarity: Errrr, nope
Clarivoyance: Let a support take that.
Fortify: Let a tank/ support get that.
Smite: This ain't no jungling build silly.

For your skills, i really focused on maxing your Flamethrower because it deals a ton of damage. Get his ult whenever you can because again, it is a major damage dealer. If you have the enemy team in it long enough, it really softens them up. Some people complain that his ult is hard to get used to, all i got to say is practice practice practice. Sooner or later, you'll get the hang of it and you'll be placing it like a pro =P . As for your Scrap Shield and Harpoon's i just alternate off on them, because imo they are equally as good.

Here is the main part of my build. To start I chose a Doran's Shield because its an all around good starter for him, while the other arent that great. Shield gives you health regen which will help you stay longer which is important early game. As for boots, those are situational, i usually go Merc Treds because of the reduced CC. Keeps you in the fight longer and helps with escaping (if you ever run into that problem). I would then rush Rylai's. This is key because it keeps people 1) In your flamethrower longer which is one of your main sources of damage when your not wailing on them while overheated. 2) Keeps them in your ult longer, which overtime, you'll see that when placed correctly, tears apart team and 1 v 1 fights. Nashor's seperates the build from the other builds. It gives you that reduced CD so you can push your overheat faster, which is your main damage output. The attack speed is also what your aiming for because again, (starting to sound repetitive), it lets you get more hits off in overheat. I then go for Guinsoos because with your low CD you should hit full stacks pretty quickly and you should be able to keep them up very easily, + the attack speed from having the full stacks greatly benefits your passive as well. I then went for Rabadon's because it provides a great boost for your AP, which is what you need for your Q,R, and ult.
EDIT:

For the last item, it's really a situational spot depending on what team your facing, if your going along with the build (with no deviation for situation) then i would get an Abyssal Scepter. It gives you that boost of AP and it lowers the Magic Resistance of nearby enemy players, which not only helps your ult + passive (it deals magic damage yes) + flamethrower, bit it helps other members of your team (who use AP of course =P )

Your main job as Rumble is to farm up like crazy and take down any champ that stands in your way. You should spam your abilities to hit your overheat as fast as possible. Use your Q and E to harass early game / last hit. When your harassing, try your best to stay above 50 heat but below 80 heat (so that you don't prematurely overheat). Try and place your ult so that they spend the most time in it / half to run in it to get out. I try and place ontop or to cut them off, they are sometimes really desperate to get out. Your ult is really good for picking off low health champs trying to B at a turret too. It has a very far range and if you land it right on top of them, they are done for. Believe it or not, but Rumble is still quite tanky, even though you build him DPS, he really puts up a fight. Don't underestimate him.

Good Luck and Have Fun!!!