Not Updated For Current Season
This started as more of an experiment than anything else, but I wound up so pleased with it I decided to post it.
I've found that Lux is a perfectly wonderful harass. Of course CR and Mana regen help this to an unbelievable degree. As to killing power, there have been some complaints that she has none, unless of course you stack AP. I disagree, stacking AP destroys any survivability you might have had and quite simply isn't worth it. CR and Mana Regen are your best friends in the world and you should treat them as such.
I went for mostly CR, and Mana Regeneration with AP and On-hit effects as Secondary
Nashor's: The first big item you should be aiming for, It's got CR, MR,and AS. Why bother with the AS when you could get more AP? AS is very helpful in getting off that detonation and the other on-hit effects from Lich or Sheen.
Boots: Sorc if you're in need of some more spell pen, Mercs if you're facing lots of stuns or slows. Durr.
Sheen/Lich: The stacking of Lux's Unique and Sheen/Lich is pretty damn important if you wand to deal damage.
Soul Shroud: This is where things can get a bit varied, If you need to be support grab Soul Shroud. If you need more damage go for Void Staff or something similar.
Zhon: Does this really require a reason?
Early Game: Harass to no end if they chase, use stun and make sure you hit with a basic attack, they'll think twice before trying it again. With Lux you can farm/harass from a distance, do it. You won't have too much survivability until later, use Prismatic barrier when ever you're in trouble, it can and will save you.
Mid Game: Keep on Harassing, you should be very formidable at this point, but pretty easy to gank, so again make ample use of your stun and prismatic barrier while harassing with Lucent and your normal attack. You should be able to rack up a few kills/assists by now and your ultimate will be devastating.
Late Game: At this point if you stun a couple of champions, they should die. Use E>Q>R to deal some serious damage, be sure to throw a few normal attacks in between to max damage.
You are now a fantastic support character, or even a carry if you switch things up a bit.
Skills: Start with a single point in Light Binding and then max Lucent/Prismatic. I find that binding is really mostly useful for the stun and mark, Lucent is great for farming and harassing, and that Prismatic increases your survivability to a respectable degree.
Masteries: I'm running 9/0/21 which seems like the only possible way to do it in my opinion. If you need to put points in defense you need to play better IMO.
Runes: I went for MP, CR, MR, and some Health. But obviously you will want to switch this up as it suits you.
That's all folks. I welcome any criticism, provided that it's constructive and I'm sure this build with be updated as I play Lux more and more.