I personally love to play Shen, not only can he save you multiple times, but he can be a very strong DPS damage dealer. here are the items I use and why (in order)

Ninja Tabi - I get Tabi because i think its just decent armor item, and since dodge was removed they gave it a new effect, Less damage from creeps, with this effect you can be very aggressive with your W, feint, and the armor you will have.Also i get Heart Of Gold (HoG) for my second item. Keep this until you think you don't need it anymore. it gives you 5 gold per 10 seconds, so its a good way to get money income as a tank.

Thornmail - I usually get this item early for the armor, and its also useful for auto-attack champions that only build crit,DPS,and lifesteal, just get thornmail and they're practically killing themselves.

Malady - I get the malady for the attack speed and the effect. It decrease magic resist by 4 on a champion and has a stack of 4.and Shen's main source of damage;Vorpal blade, is magic based. So this is a excellent choice for some damage output.

Force of Nature(Fon) - I get Fon because of the effect, once again, and the magic resist. its a good way to shut down high damage dealing AP mages like Karthus, Also if you have enough health you will have absolutely insane magic resist, But if you don't have quite of much AP on the enemy team you should definitely go for a GA.

Trinity force (T force/Tri-force) - the trinity force is just overall a very good item to have on practically any champion. it gives Tons of stats.So again, as Shen , you wont to put out as much damage as possible and yet tank for your team,So this fits very well.

Randuin's Omen - Randuin's Omen is mainly a item for team fights, it shuts down AD Carrys very fast, it slows them, and decreases Attack speed magnificently, So you are able to focus them very hard. (this is also what the HOG was for)

Typical tank runes.Magic resist,armor,XP quins,Health regen.

21 Defence 9 utility