Introduction
Leona is an excellent tank and a very fun champion to play. First build will make you the ultimate anti-AD tank. Second build will make Leona tanky AND deal heavy damage !
Note : Since 
Locket of the Iron Solari seems to have been made for Leona (even with a special skin! ), i used it in game a few time. But I think i don't have the feeling for it's active. I'm still not convinced but it's gameplay.
Gameplay
Early game, Leona must be played aggressively in lane so your carry can farm in peace and finish low health enemies. Abuse her shield and her stun, kitting away enemy health. Wait in the bushes. If an enemy tries to last hit, launch 
Eclipse, hit with 
Zenith Blade and stun with 
Shield of Daybreak, jump back in the bushes during the stun. Rinse and repeat.
By Mid game, she becomes the stun locker. Since Leona's base movement speed is so low, it's better to have someone with you, to chase and slow the target so you can catch up. Once in reach, you will lock it in place with Zenith Blade to Shield of Daybreak. If it tries to escape again, hit 
Solar Flare and stun loop again !
Late game, her role is to pick a target and initiate the fight. Locking one enemy with Zenith Blade to Shield of Daybreak for your team to focus on. Don't use Solar Flare to initiate, unless you are sure you and your team can catch up. It's better to walk into the fray and then use your ultimate on specific targets to stun or slow them down.
Build 1 : Tank CDR max anti-AD
Max CDR -> Max Armor -> Max Anti-AD !
With this build, it's : "Go in and lock down". You will easily enter fights, sustain damage and stun lock someone for your team to focus on. Lots of armor and attack speed reduction makes you a threat to heavy auto-attack teams. With the 2 best anti-AD items (
Randuin's Omen and 
Frozen Heart), you will make that Trindamere cry.
Some calculations :
35% on hit + 35% on activation + 20% from frozen ! Total of 90% attack speed reduction !!
If you add the 70% damage reduction, that champ is now completely powerless.
You can buy a 
Frozen Mallet to become a sticky machine. You will be the fierce guard dog : One bite and you never let go !
Add the 40% max CDR and your target will be helplessly stun looped. No escape and no revenge kill for him ! Just have a damage dealer at hand, because you won't kill alone. Once a veteran, you can even lock 2 targets, slowing one, stunning the other !
In details :
Early game :
Philosopher's Stone -> 
Heart of Gold -> 
Ionian Boots of Lucidity
In combination with your masteries, farming gold will never be an issue. Since those items gives you survivability, They are a must. Those boots are also core as they will take 15% off your cooldowns. Order is :
1- Philo for better HP/mana regen,
2- Heart for more HP,
3- Boots for movement speed.
Mid game :
Randuin's Omen -> Frozen Heart
This will make you a tough tank and the AD's nightmare, while The Randuin's active slow will be a must to lock the full team in place.
Late game :
Force of Nature -> 
Warmog's Armor
If game goes for long, you will sell your Philosopher's Stone and top your build with those classic tank items. If 3 or more champions goes AD, buy 
Thornmail to counter them even harder.
Build 2 : Do they ignore the tank ?
Many time i have seen the opponent in lane ignore Leona because : "She is a tank that stuns, but she won't harm us". If they don't focus Leona, all this armor and resistance goes to waste, right ? In lane, if they don't fear your presence, you can't protect your carry. If that situation arise, go for the Trinity way.
By going 
Trinity Force you gain early damage by sacrificing a bit of mid game survivability. Since they are ignoring you, trying hard to kill your squishy, teach them a lesson ! You will surprise many opponent with 
Sheen.
Choose your first item considering the opposing duo :
- If they harass a lot, go for 
Phage first.
- If they don't harass but sustain well, go for 
Zeal for a better farm.
- If they are fragile, buy Sheen for better burst damage.
Early game :
You will build Trinity Force from early to mid game grabbing the Ionian Boots of Lucidity when you feel the need. After a few towers down, teamfights breaks up and you need to go build some tankyness again. How to build tanky while still improving damage ? Atma.
Mid game :
Go for heath items like 
Sunfire Cape as your Eclipse spell protects you well. Plus, Sunfire effects makes Leona pretty ;-). Top it with Atma Empaler to keep building armor and damage.
Late game :
Watch how damage evolves in enemy team, grab Force of Nature if you need more magic resist, else go for Warmog's Armor to build more heath and damage through Atma. At the end of the game, your atma will give you (replace by number) AD !
Build Guide
Discussion
Exhaust : The Anti-AD must have
Clairvoyance : Know the enemy
Heal : Teamfight saver
Flash ?
Greed is good ! Since you will use up a lot of mana, taking 
Expanded Mind and 
Meditation will be helpful too. And with 
Scout never forget to ward !
Hardiness and 
Resistance. 
Durability and Veteran's scar will toughen you up too. The must have is 
Initiator. This boost in movement speed is very efficient. And since AOE damage is everywhere, 
Evasion will make Morgana pools tickles.
Enlightenment will provide the missing CDR. 
Mercenary will be a good source of income. 
Juggernaut will alleviate any disables. 
Honor Guard with 
