Welcome to my Malphite build. I would like to start by saying that I have had quite a bit of experience with this character and to clarify a few things about him.

Things to keep in mind:
1. Malphite is not a tank. Many people believe so, bu the does not have the hard cc required to be a tank. Plus, he is fairly lacking in the MR department.
2. Not being DOES NOT MEAN that he can't take damage, Malphite is still a VERY tough and quite powerful champion, capable of taking LOTS of damage and escaping MANY situations.
3. Mess around with him, if you don't like this build. Try a little AP for fun. Get a Warmog's Armor. Whatever you like. Remember to always HAVE FUN with the game.

My rune choices are shown above. The early game armor is usually good for his E and health is good with his innate. The Magic Penetration allows you to harass just a tad more early game and ups your damage. For Glyphs I personally like to substitute FLAT CDR. This helps him to spam his abilities just a bit more and be a little more helpful in lane.

The other side to this is to remember that there is always a lot of Magic Damage on any given team, so leveling MR can be very helpful especially since building MR is not as helpful as building armor and HP. SO it's totally up to you. Get whichever one you think is better.

For masteries I usually get everything that increases defenses. Getting the 21 in Defense is crucial. Anything with HP and armor is a good idea, but from there it varies. I typically don't get the dodge chance simply because it is not as useful as some of the other effects in the list.

With the nine points remaining I put them into utility, as helpful as they may be in offense. I do not see Malphite as having a huge need for magic penetration. The experience boost and reduced dead time are far more helpful. However, feel free to put the points into Perseverance and Expanded Mind. Those are also helpful.

For Items I choose to open with a Doran's ring, this is a GREAT startign item for Malphite and I find that I can remain in lane for LONG periods of time against almost any foe because of it. The armor, HP, and HP regen are simply one of the BEST possible items for him to get.

Next I take Mercury's Treads. WHile the armor from ninja tabi may help him, it is not as useful as the tenacity that merc's gives. Plus, it's always good to have just a little bit of MR.

After that I grab a giant's belt and a chain vest (again: HP and Armor are his best stats to increase). From here it varies, if the enemy team has a LOT of AP (or just magic damage in general) then I grab a negatron cloak, sometimes even before the chain vest.

If you find the enemy team to be AD heavy, rush a thornmail and then move on to Frozen Heart or Sunfire afterward. Trust me, you WON'T be dying if the enemy goes AD. You almost become a tank in that situation.

Sunfire cape is a GREAT item for him. I find his ability to farm SPIKES if you get this item. One use of his combination W+E and all of the minions are dead. He can bounce between lanes with teleport (or just run) and clear minion waves fairly easily. It also helps because it makes him a more viscious bruiser. If the enemy team is focusing you, or you are drawing their fire, then it will hurt them more. This makes Malphite SO much more useful in team fights.

Next I get banshee's. THis is pretty straightforward because it gives HP, Mana, AND MR. If you find that you don't have enough MR after that then you can get a Force of Nature. Or, if you are feeling daring, go for an Abyssal's Scepter. AP never hurt your scalars did it? Typically with a normal team, however, Guardian Angel and Banshee's Veil are enough to keep you in the middle of the fight without dying.

Frozen Heart is another GREAT Malphite Item. It is (possibly) your ONLY source, but it is the ONLY one you will EVER need. Open with the glacial shroud (earlier than this if you feel it necessary), then go for the full item. I find that this also helps you be more useful in team fights because your main source of harassment is available more often.

Guardian Angel is the real kicker. Armor + MR and the passive are AMAZING together. This a good item to get a little earlier if you find yourself dying a lot, but if you play right, that shouldn't happen too often.

Finally, I sell my Doran's Shield and grab an aegis, sometimes I get it earlier. Usually, however, the tank on my team get's it first, and two on one team doesn't help that much. If you find you need it, then go ahead. It's a great item and if you find yourself in a lot of early game ganks/team fights, then this may be the item for you.

Finally, I grab elixirs nothing could be a better final item.

For skills I typically rush my Q and E. This is because they are great for harassment. If an enemy team has a LOT more AD then I may get my W a bit more. Obviously his ult is a MUST.

I use my Q to harass early game, but it helps SO much in team fights. I typically open with my ult, and before they hit the ground I use W and then E. This allows my team the opportunity to rush in and kill a few of them while they are Knocked Airborne and then Slowed by E. I immediately Q the lowest HP enemy on their team and this slows them further. Once the fighting subsides and people are running his Q is very useful in slowing there getaway. Just do me a favor? DON'T CHASE TO FAR. TOWERS KILL YOU AND ENEMIES DO REVIVE. Just keep that in mind and you should be fine.

My personal favorite combination is shown above:
Teleport: Believe it or not, but this increases lane endurance. I use it to time my returns to base. Once it's off cooldown and I am low on HP, then I return, buy an item and pop back to the tower. It's also good late game to keep up pushes in multiple lanes.
Clarity: Good to keep his mana. malphite has very little mana regen and buying it is almost useless. Try to use it only when necessary, or to aide allies with it.

Other options:
Flash - Everyone loves flash! Good for escaping or engaging.
Ghost - When combined with his Q he makes a mean chaser.
Heal - Everyone needs heath. Not a GREAT choice, but if you want it...
Fortify - People don't use this one much but it has a great potential. Just remember to grab the fortify MASTERY under defensive masteries, this makes it an AMAZING defensive tactic.

Things to avoid:
Rally - Who the HECK uses rally??? Really? Well...I guess...whatever...
Revive - Not TERRIBLE...but there are many other great options, plus if YOU'RE dying then your team/you personally need(s) help.
Smite - Don't even TRY IT. Smite is for JUNGLING, not laning. If you want to jungle that's fine, just DO NOT LANE WITH SMITE.

Malphite is a great character and very fun to use. He has a great lane endurance and amazing defenses. His survivability with a few basic items is amazing.

Just a few last bits of advice:
1. Malphite is not a tank, I cannot say it enough. He can survive and has GREAT defenses, but he isn't a tank.
2. Play conservatively, but offensively. Don't push too much, but don't hide behind your tower all game. Harass, but don't tower dive. Get my drift???
3. Be nice, no one likes a rager or a jerk or a kill stealer (though getting him kills is not a bad thing, he can be a carry). Just play the game, have fun, and kick some butt...er...rocks!