This is my way of how to play Kennen, most people probably have similar builds, but now I'll be explaining mine.
First of all, you get boots of speed, along with 2 health potions. If you are on mid lane, try to gank top or bot lane, because you will need money to buy Rylai Scepter. After that, get the sorcerer shoes.

That was the basic part, from here on, it doesn't really matter, BUT, I recommend to get Rabadons Deathcap as first in part 2. Depending on how well you're playing in the game, you can get Mejai's. As last item (my games usually don't take so long for this) take Void Staff for a nice AP boost and the magic pen ofcourse.

There is no need for much explanation for the runes, you should get magic pen for the reds, the rest I'd say just get ability power, it's the most important thing for Kennen.

For masteries I choose the 21-0-9, but for survivability you could pick 21-9-0 or even 9-21-0.
But what you MUST get is Archaic Knowledge, ''Your magic spells penetrate 15% of your target's magic resistance''

Pros:
-Good pusher, if you have got a little AP and lightnigh rush combined with electrical surge makes you one hit a whole minion wave, what makes you the best pusher in the game.
-You decide teamfights, if your team is losing a teamfight and u got your ulti ready, use 'E' to rush in and than cast your ulti, for a mass stun.
-Early game is yours, with Thundering Shuriken I think Kennen is the best char at level 1, it has a great range and deals massive damage for a level 1 champion.

Cons:
-If you start off bad, good luck finding your way back.
-If you decide nót to get Rylai Scepter, you lose your slow and the very important 500 health