Not Updated For Current Season
Now how I've seen magical results with kennen is as an absolute Nuker/chaser. Your shuriken has better range than most heroes, you come build in with a mini "ghost" and 2 MAD AoEs. I start off withi the shoes to remove the ammount of harassment you will see early game. I perfer Sorcerer's Shoes for early game kills with the magic pen, but the Boots of Swiftness can to just as well. Kage's Pick is nice for the extra little sprinkle of AP and the gold input. Now is where things get fun. Guinsoos Rageblade. Don't discount attack speed. Your auto attack is NASTY when your sparks proc, and it helps get those extra marks out on those who may run. The scepter... you have no mana and can spam abilities... enough said. Now the Revolver / Gunblade. Your EVERYTHING is magic damage, AND your guinsoos make your auto attack stupid fast. At capped items you should be able to walk through a mob of minions and recover atleast 1/4 of your total health using your lightning ball, and your AoE shock. You're one of the squishiest guys out there so this keeps you alive during that splash dmg you might just be using lighning ball through. Zhonyas Ring... MAD AP, this turns you from a wiked nuker in to "LEGENDARY". Mejai's and Will of the Ancients are optional. Mejai's if you're being fed/getting alot of kills/assists or Will of the Ancients for that bit extra spell vamp if you're getting target alot.
a Rly solid Carry/Nuker/Chaser build for Kennen