Hi there peeps this is my first attempt at a LoL guide ever, been playing the game for almost 2 years now so i thought i might share some of my small xp with Hecarim. I will try too keep this a short as possible and do my best. Criticism is welcomed but please no trolling :).
Any pertinent suggestions with merit will posted in the guide with credit towards the person who came up with the idea.

So Hecarim can best be played ( IMO only ) as a solo top - bruiser tank or a jungler.
This guide will cover the aspect of solo top laning and tanking for your team.

SOLO TOP - Depending on what opponent you will face while soling top you will either want to abuse you Q , W and E to do 3 things. 1 farm minions as best as you can and with your Q; 2 - use your E to zone out your opponent; 3 use your W to sustain you.
If your opponent is something like Olaf and keeps spamming his Q to wear you down and then charge in to finish you I'd say it's pretty safe to exchange blows in order to protect your lane

TANKING - During team-fights you will some point want to try and initiate before they do.
You want to this with your R ( ultimate ). When you do this it is IMPORTANT to remember that during your skillshot NOT to trigger the target (that circle that you can move during your skillshot ) behind the enemy team as the ghosts and yourself will just go past them and you do no want to be behind the enemy team you want to be right in the middle of them tanking and killing ending up behind them will either make you an easy kill or you just get ignored while your team gets smashed. Think of your skillshot as mini horse track :P and when the horses stop they will unleash the pain on anyone in front of them. This is essential to master in order to apply the ultimates fear giving precious little time do some damage.After this you want to do 1 of 2 things .Chase whatever enemies are trying to escape or protect your carrys with your E. If you some Akali, Trynd or Yi charges bash them away from your carry and kill him/her before he/she kills your carrys - also do this if they initiate and save your ulti to fear anyone that tries to overwhelm your carrys.

9 - armor pen marks.
9 - hp per lvl seals.
9 - magic resist per lvl glyphs.
3 - flat armor quintessences.

This is what setup I use. It offers decent survivability while being able to dish out some respectable dmg.
What I'd really recommend tho is at least get those 9 armor pen marks.

Standard bruiser tank spec. Works a bit better on Hecarim out of 2 reasons.
1.Summoners Wrath - increases Ghost's speed boost to 35% combine that with Hecarim's passive and E and Bang you get some real nice dmg.
2.Initiator - Hecarim's passive gives bonus dmg based on your bonus speed - no brainer.

This is what I generally use - Offers decent dmg ( u'r not a rocket chainsaw that's Brand's job or Xerath's ) while soaking up a ****load of dmg; you are the tank after all.
The "best" build is made up by adapting to your enemy team.
The core items here are;
Doran's Blade - offers hp, dmg and a bit of lifesteal for some sustain in the begining phase;
Phage - dmg, hp, *slow* - this item is really good on Hecarim due to his awesome chase ability.
Sunfire Cape - Armor - Hp - AoE dmg - get this as soon as you can; this is your build's "Heart" will keep you alive long enough in order to do your job - it also synergizes really well with your Q and Ultimate.
Force of nature - heal - movement speed = dmg in Hecarim's case - magic resist = one the best items you can get on Hercarim besides Sunfire IMO;

Tips:
Condsider getting Mercury's treads if the enemy team is heavy on CC/dmg.
Speed or Mobility boots if you like chasing/roaming also gives Xtra dmg due to passive.
Thornmail - Get this instead of Sunfire if the enemy team is heavy on AD will make them think twice about attacking you - just make sure you have enough hp from the phage item tree.
Trinity Force - I'd recommend getting this item if you already got a tank on your team for some extra damage, otherwise only get it if your fed ; it costs a ton of gold and you could buy some other stuff that would prove more useful.
Maw of Malmortius - you could get this instead of force of nature for some extra dmg while not sacrificing magic resist.

Ghost - Hecarim's passive gives bonus dmg based on your bonus speed as said before this is preety much a no brainer, more speed -> more dmg, and you have a extra chase and escape ability besides your E.
Exhaust - You are a tank and as such you want to protect your team as best as you can.
Use this either do disable that huge damaging Talon, Akali, Trinda, etc., and decimate them or to keep the opponent from running away or to slow them down while you make your escape.

Other viable spells:
Heal - no brainer.
Cleanse - If the enemy team is heavy on CC you might want to get this since Hecarim relies on mobility to do his thing.
Ignite - If the enemy team has some heavy healing consider getting this it will seriously help you out.
Teleport - Ever play Shen? - this allows you teleport for an assist or gank; tip you can teleport to allied wards OR to Teemo's shrooms of doom :P.

Note:
A) You can use Hecarim's Q while moving meaning you can kite AND do dmg; you can also use this during your ultimate or E.
B)Hecarim's ulitmate does pass through walls - but I think the ulti is bugged. A few times the ult's ghosts did dash trough walls but I just went right into the wall.

My standard rotation is this - activate W - rush in with E - Spam Q - if they try to run finish them of with your ultimate.

Pros:
-High survivability with this build.
-High mobility compared to other champs.
-Decent dmg.
-Can chase and close the gap quickly between you and ranged chars.
-You look awesome
-YOU WILL END THEM!

Cons:
-low dmg early game.
-kinda relies on the team to more of his essential stuff. (jungling excluded)
-not that easy to master; ablilities need solid familiarization .

OK guys thanks for reading; this is my first guide EVER; hope this will help, If I missed anything I'd appreciate it if you mentioned what I did miss.
It's time to END THEM! :D