Not Updated For Current Season
I have played Shen for a long time now, andafter the boost of Warmogs, I find this build to be very good.
I find the rune and masteries to be self-explenatory, with the exception of the AS marks and dropping the dodging mastery. I have those marks to keep me a dangeorus target, so I won't be ignored in team battles. I skip the dodging masteries because Shen's passive, Ki-Strike's cooldown is reduced when hit, so i prefer to have a higher defence ratio.
I start out with a doreans shield so I can be in the lane as long as possible.
I always use Merc Threads, but ninja tabi is a decent choice aswell. I take Heart of gold early for the extra armor and gold.
Now it's time for warmogs armor. I always prefer to get it early, so I gen max the stacks ASAP. When you get FoN, you will have a insane high health regen, and the magic resistance make you very hard to take down. Randuins is almost a must to every tank (at least for me xD). It gives all a tank need, and the active is just awesome in teamfights, to rescue someone and to gank. The rest of the items is situational, but i tend to go a sunfire cape, to add some extra dmg and increase the fear factor.
I hope you give this build a shot and rate it whatever you mean it deserve. But if you rate, please leave a comment, so I can improve. If you like this build, i will make improvements in the design and add a tactics section.