My first "Guide" - More of a build to follow than a guide on how to play him I suppose. I am sharing with you a quite effective setup i use on my Shen. I primarily jungle but i can also top lane quite effectively with some slight alterations, mainly just swapping the starting item as a regrowth pendant and your set.

For now I am going to keep this short and sweet sticking to the point of how I build Shen. I can't play for you so if you suck then keep practicing, jungle takes time to master and can be very difficult at times but what I can tell you is this method is tried and true and will make you an effective tank/ganker for your team.

good luck!

There exists an ancient order originating in the Ionian Isles dedicated to the preservation of balance. Order, chaos, light, darkness -- all things must exist in perfect harmony for such is the way of the universe. This order is known as the Kinkou and it employs a triumvirate of shadow warriors to uphold its causes in the world. Shen is one of these shadow warriors, entrusted with the sacred duty of Watching the Stars - exercising judgment untainted by prejudice.

Born to a clan whose members have decorated the ranks of the Kinkou for generations, Shen was trained his entire life to become the Eye of Twilight, and thereupon to dispassionately determine what must be done in the interests of equilibrium. As his final trial to ascend to this position, he was made to attend the Takanu, a ceremony in which his father was tortured before his eyes to test his resolve. Any reaction whatsoever would have resulted in his immediate disqualification, but he never averted his gaze and never blinked, not once. As the Eye of Twilight, Shen must make decisions that would buckle the wills of ordinary men, removing all emotion from the equation. He now works with his fellows Akali and Kennen to enforce the balance of Valoran. This hallowed pursuit has unsurprisingly led the triumvirate to the Fields of Justice.

The Eye of Twilight sees not the despair of its victims, only the elegance of equilibrium.

attack speed for ki strike / jungle speed
armor/MR...well...you ARE a tank, like it or not thats how you are designed
movement speed... your a turtle.. this helps some

There are so many different ways you can do your rune set ups, but i like this one more than AD etc because a lot of the items i use have on-hit effects and attack speed also helps with your main burst ki strike

the only thing i have against my own mastery setup is the lack of the 20% buff increase, but this setup leads to an overall better late game, and is still very effective for jungle speed.. you just have less of a window to use your buffs for ganks and what not, but i don't find it a huge hindrance vs the advantages of the offense tree

i have fallen in love with this build, the health stone helps build into future items along with increasing your survivability and damage output of ki..downside..your slow

get boots/hp pots if you dislike this and want a bit more speed, but i would stick with either health stone or boots+pots (boots will help you gank a bit easier pre-6 if that is your goal)

skill sequence depends again heavily on your gank opportunities pre-6
i find vorp1, feint 2 & 3 + vorp 4 = much faster/effective jungle, then move into taunt @ 5 and gank, or keep pushing to 6.

if you see a gank opportunity coming up earlier, put a point into taunt

this is a toughy
smite is a must if your jungling, no questions asked

exhaust/flash/ignite are all acceptable in my opinion, but ill tell you why i pick exhaust

1. can be used to slow your enemy so that you AND your team can catch them (great for that runner thats trying to escape your ganks early game)
2. can be used to help you escape a fight gone wrong.
3. can be used in a 1v1 to gain the upper hand and minimize damage coming your way

2nd favorite is ignite...who doesnt love a good ignite?

i start @ blue with a leash and do wolves-->wraiths-->red-->golem--wrai-->wolves and repeat/counter jungle/or gank

I am still trying to find a way to incorporate ability power into his set-up but so far it seems that you sacrifice so much better items for the return received from adding ability power items. Rylai's Scepter could swap places with frozen mallet, a lot depends on your play style. in that case you will lose health and damage output in exchange for a bit more on your shielding..imo not worth it.

Remember this is a suggested guide line that has worked for me, but go out there and make your own changes and create your own build, the best build could still be out there waiting for you to find it.