Have you experienced how awesome of a tank Shen is? Played him, but have not yet been succesful? Well, after not seeing a similar build on this site, here is my build for Shen. I play him as a tank in early/mid game and in late game he can do deal damage quite well. Try this build out before rating commenting please.

I chose runes for good tanking mid/late game and a few runes for dealing damage. These is probably not the best rune setup tho

For masteries i chose 21 in defense and 9 in offence. 9 in offence for the better summoner spells.

For summoner spells i choose exhaust and ignite, but if you want flash is also a good option. Flashing behind an enemy team and taunting all of them is a good strategy.

Starting the game i buy Ruby Crystal for Leviathan. The earlier you get 20 leviathana stacks the better. 15% less damage taken makes you almost impossible to kill. Choose vorpal blade and then head out to top or bottom. Try to get first blood.
Use vorpal blade and Shens passive to rack up minion kills as much as possible, unless you are laning with a carry or dps. Even if you are laning with a dps still try to last hit. For level two pick shadow dash. Third level take feint, 50 dmg is enough for now. If you have to go back to base and dont have enough gold for leviathan, then buy Boots of Speed.
Levels 4 and 5 take vorpal blade. Once you get your ulti keep an eye on the minimap. If you see that your allies and enemies are quite close pan your view to them and use ulti if necessary. At lvl 7 take feint again, becouse now 50 dmg is not enough. Levels 7 and 8 take vorpal blade for more damage. After leviathan and boots of speed buyWarmog's armor.

In mid game, if you see a gankable person, go for it. If a lane has been pushed too far and you have your ultimate. Go farm creeps while keeping an eye on the minimap and using your ulti to get into teamfights. Levels 9 and 10 take feint, 11 ofcourse pick ultimate. Levels 12 and 13 max out feint. 14 and 15 take Shadow Dash. Lvl 16 ult, and then max out Shadow Dash. After Warmog's go for Frozen Mallet. Then Atma's Impaler for some damage and Randuin's Omen to finish off the item build.
In late game you NEED to initiate fights and shadow dash into enemy carries/dpses. Always use keep an eye on the minimap and use Shen's ultimate to save teammates. Also, dont forget to use Randuin's Omen Active.

A good player ALWAYS changes his/her build according to the enemy team. Like i said earlier, Mercury's Treads can be switched with Ninja Tabi. If the enemy team has many mages/nukers you might consider swapping Frozen Mallet with Banshee's Veil. Also if your enemy team has no chance of killing you you might buy Trinity Force instead of Randuin's Omen. Or if you dont like Randuin's Omen you could buy Thornmail.