First things first, Kennen requires a balance of Aggression and Caution.
What does that mean? It means that Kennen is very delicate, but also one of the best harassers in the game.
I don't recommend him to player's that like to burst into combat thinking their gonna solo anyone who they come across. At the same time, he's not for the timid, he may be squishy, but your enemy won't come near you if they feel how hard your TS hits!
DISCLAIMER: This is not a situational build, just my preference. Also: I will not include a ranked game play description because you will all develop your own style with him before you play ranked matches. (hopefully)

This is very unorthadoz i know, but theres a song which captures Kennen so perfectly:
Everybody was Kung Fu Fighting
Those cats were fast as lightning
In fact, it was a little bit frightening
But they fought with expert timing

(yes i know its "those *kicks* were fast as lightning")

Kennen Specific
TS = Thundering Shuriken (Q)
ES = Electrical Surge (W)
LR = Lightning Rush (E)
SM = Slicing Maelstrom (R)
Marks = Mark of the Storm (Passive)
LoL
TF = Team Fights
AP = Ability Power
MP = Magic Penetration
MR = Magic Resist
ASPD = Attack Speed
CC = Crowd Control
CD = Cool Down
FB = First Blood (no... not facebook)

Pros
1. One of the best harassers in game
2. One of the best stuns in game (2nd only to pantheon imo)
3. Can turn TF's in under 2 seconds!
4. Clears mobs instantly mid/late game
5. Easy/Adaptable rotations
6. Excels at Hit n' Run's
7. His engage (LR) adds Armor and MR
8. Energy based champion (helps to relentlessly assault an enemy & to stay in lane longer)
9. Ability to AoE stun shuts down enemy's channel spells.
Cons
1. I shall call him Squishy and he shall be mine and he shall be my Squishy
2. Easily CC'd
3. Commonly focus fired mid/late game due to massive damage output
4. You make people QQ... oh, wait... that's not a con! xD

< Lvl 30
Ignite

(start your masteries going down offense) With a point in Ignite whenever it is on CD you gain 10 AP, helps tremendously for FB.
Exhaust

You are very susceptible to CC, so i always use Exhaust to counter and CC put against me (after all, whats the point of using CC if your CC'd at the same time?)
Also: I like this for between Stuns or if you accidently drain your energy to quickly.

Lvl 30
Flash

Not much to be said about this spell, its just damn useful. Escaping through walls, jumping ahead to catch someone with LR into a stun. Personally i find myself flashing away from a gank and popping LR to flee to safety.

Pretty straight forward rune build.
Magic Pen Marks for getting through the enemy's resist
Flat HP Seals for initial health boost
Flat AP Glyphs for some initial damage boost and
Flat AP Quints for an even bigger early boost.

This set-up gives you much needed early/mid survivability and makes you a huge competitor for FB (they go to run and you blast em' with TS.)

Most people will say "go utility!" but thats not as effective for Kennen as a healthy Defense.
In my eyes, Kennen has very few flaws. (CC + Squishy + Focused)
A cure to this common cold is a good defense.

3 Points in Hardiness (+6 Armor) then down intoHarden Skin (+2 phy damage block)
2 Points in Resistance (+4 MR)
4 points in Evasion (+2% dodge) then down intoNimbleness to Run/Chase more effectively.
4 points in Veteran's Scars (+60hp)
Tenacity's benefit is obvious.

Going Defense also has an Offensive gain for Kennen with
Ardor (+4% ASPD&AP)

We only extend far enough into Offense tree to get
1 point in Archaic Knowledge (+15% Magic Penetration) to get their we first grab
3 points in Archmage's Savvy (+.6AP per Lvl)
1 point in Cripple to buff our Exhaust (+.5 duration & -10 Armor+MR) and of course,
4 points into Sorcery for reduced CD's (+3%)

Mark of the Storm(Passive): 3 marks = stun
Thundering Shuriken(Q): Your First and best harass, deals massive damage (Skill-shot) Adds a Mark.
Electrical Surge(W): Your 2nd harass + 1st AoE, Deals Moderate-Massive damage (No Target) Adds a Mark.
Lightning Rush (E): Your initiator + Step 1 to your creep farming. Ghost effect (pass through minions + champs) great flee/chase. you gain 10 MR + Armor per lvl of skill for a short period as well as massive speed. Adds a Mark.
Slicing Maelstrom (R)(Ultimate): is a great AoE stun and should only be used when the enemy is grouped into a small cluster for maximum effectiveness. Double's and even Triple's are easily attainable. Adds a Mark (only first hit)

Sequence
Start with TS for a harass.
Then ES for a stronger harass and ability to stun enemy champ.
LR is your 3rd point, you now have your rotation rdy for use!

Noob Kennen's will Max out TS before ES or LR. Kennen is all about balance people! (read the lore) TS>ES>LR yes, but... balance (at least between TS + ES) This makes it so that if you miss the TS skill-shot you can still do adequate damage with a LR + ES combo. Side note: If the enemy see's your TS flying at them every 3 seconds (lvl 5 CD) they will learn how you throw it and thus evade it easier.

Start with an Amplifying Tome and a Health Potion.&

Your First trip back should be at 1100g, but being realistic it'll most likely be around 350g, this isn't bad, you can still grab Boots of Speed, but if possible flat-out purchase of Sorcerer's Boots would be best.or
If you didn't come back with 1100g then grab a blasting rod for 860g, this'll give you a much heavier harass, though i'd still recommended caution until you fully built your Ryjal's Crystal Scepter.
Ryjal's is your main item: Health + AP + a much needed slow.
From there I recommend building an Abyssal Scepter, this is beneficial to any AP champs on your team for the MR reduce aura, as well as a nice MR bonus for you and again, a hefty AP bonus.
With magic pen marks, Sorc Boots and abyssal your enemy wont have any MR left (obviously unless they buy some).
Rabbadon's is usually GG for me, but if the game slopes into Late game now is when you need the extra survivability and additional AP of Zhonya's Hourglass.or
(Though i also recomend Force of Nature against AP heavy teams or switching the buy order of Guardian Angel)

*This is my first build* but i'm not asking for you to go easy. :D