Not Updated For Current Season
Shen is a tank and arguably the best in the game. Your ability to teleport to a friendly target and taunt immediately afterwards to take the heat off is invaluable. In most games it is a balance between armor and MR that makes or breaks you as a tank. Don't count on games where the team is one sided, although it does happen.
This is not a guide that should be followed every game but is a solid one for most situations and one I find using 90% of the time. Be smart and watch what they are doing. You can follow my items up to heart of gold every time and then look at what items they are getting. If someone rises in kills with AD, get the armor gear, if you see a lot of AP items on other team or an APer rising then get MR. Continually watch the opposing team and adapt.
This is also not a guide to teach you how to play the basics of Shen just what set my version of Shen apart from the standard.
No class has more fluidity in gear than a tank.
With Shen, HP is not as important as resistance and armor. Stack those up with and then a little HP to take the nukes.
Always grab a sub-piece of whatever larger item your making. If you die or have to recall, always grab something while your there.
Start with Doran's Shield and then in most cases Mercury's Treads. After that go for Heart of Gold followed by negatron cloak.
At this point, you have a little more MR than armor so lets work on guardian angel. This is amazing especially when your about to die and you hug a wall or tree line that you can dash through. The moment your back up, dash and run (but keep mashing it, if your fighting a team that knows how to fight Shen properly, they will be ready to stun, so smash e and your mouse button until your safe). While building this, grab the armor components, the chain vest or cloth armor to help even out the armor and MR stats.
Once that is complete, go for aegis of legion as more team fights are going to start to happen.
Now its time for the specialist gear. Complete your force of nature first and then Randuins Omen. For Randuins Omen you will probably want to grab its sub component, Warden's Mail.
Your last piece is up to you. You can get Banshee's veil for a little more magic resist (since your armor will be higher at this point) and the hp and passive or Sunfire cape as I see a lot of Shen builds have. Or you can go for frozen heart so your Randuin's omen active works better and the 20% reduction to attack speed comes in very handy in team fights.
There is a lot of debate on summoner spells. But bottom line is your a tank and your there to survive. I got teleport and ghost. Teleport is good for when you see a partner about to die but your ultimate is on cooldown. You can teleport to a mob near them and attempt to save them. And of course its also good for getting back in the action quickly.
Ghost is pretty self explanatory. You will become unkillable if you play it right and use your abilities right. Even when the entire enemy team is chasing you down and you post ghost and use dash a few times :).
Your other option instead of teleport is exhaust. Good for hitting a melee DPS that is tearing up one of your guys.