This is my build for Shen - Eye of Twilight. I am by no means a number cruncher or a top tier player, but I do have extensive experience building characters in a variety of games and I usually enjoy trying something a little different than what most people are doing. After several different builds I have found myself sticking with this one hands down. Let us proceed.
Playing Shen - The AP Ninja requires you to maintain a support state of mind. Playing to be a tank or dps will cause you to fail miserably. Playing to be a support ninja will cause you to rack up kills and generally be smothered with love by your teammates and hatred by your enemies.
Teleport and Exhaust. I cannot stress how effective it is for Shen to be aware and in total control of the map at all times. You cast Stand United on a teammate running away from a low-health couple of overconfident champs in another lane who are moving in for the easy kill. When you port in and Shadow Dash them, kill one, then exhaust the other and kill them, all while keeping your teammate alive chat will light up with praise for your sick Ninja skills. Then teleporting back into your lane in time to push a tower or gank a champ who saw you leave your lanemate solo and got itchy will make everyone on your team try to play Shen in their next game.
I suppose Cleanse is also a decent choice for getting out of a tight spot (I prefer to use Shadow Dash for escaping too but it's your call) or Fortify if you were playing on TT (taunting the enemy close to your tower while hitting Fortify will mess them up pretty bad).
Now here it is up to you. I have played this build both 21/9/0 and 9/21/0 and only noticed a marginal difference in how my gameplay went. I definitely noticed more kills using offensive builds. (durr) Always get improved exhaust. (durr again)
For items I go as follows:
Start with a Doran's Blade and a health pot. Shen early game does fine surviving with lifetapping minions and if needed you can pop your health pot while attacking a lifetapped Champion. Early game you will almost never die 1v1.
First trip back you will be snagging your boots. If you have dodge runes and points in def masteries then grab Tabi's for survivability. Build around the enemy team of course and grab the best option for the game no matter what. If you have the gold, start building your Rylai's Crystal Scepter (the slow will be triggered by your Vorpal Blade - the bonus AP and Health doesn't hurt either).
Once you have your Rylai's built you want to move to your next item quickly. I usually go with a Haunting Guise (more vamp plus more AP and HP plus it's rather cheap). From there you want to snag your mid to late game ticket-taker, Guinsoo's Rageblade. (see where this is going?)
You then want to build to a Lichbane. Take out the Mana and it is custom made for Shen. AP, movement speed, magic resist and when the passive procs with your Ki Strike it is evil.
The game rarely will go long enough but after you have your Lichbane you will grab Zhonya's Ring. AP + AP + Moar Survivability. Win.
13. max out W taking your last pt. in Stand United at 16.
Look. I know. NO FEINT??@!! I just find early into mid game it drains your energy a lot and is not generally as effective with this build. By all means, try it your way.
Early game just focus on last hitting creeps and planting your vorpal blade on everything. Hitting enemy champions with it will usually cause them to run back but if they don't you and your lanemate will be healing yourselves during the fight. Pop your health pot during a fight if it gets nasty and watch the first blood wash over your ninja self. At lvl 2 your taunt / exhaust combo will be devastating with a good lanemate. Just keep up the routine and you will be fine; just be sure not to position your Shadow Dashes where they leave you in range of the enemy tower. (It happens a lot.) sigh.
Ok. So now you're lvl 6-7, using Stand United and Teleport to be all over the map and making the enemy terrified to chase low health teammates while you rack up the kills and assists. Don't change a thing. Continue to support all lanes and pop Vorpal on your team's focused targets. Shadow Dash to taunt, exhaust, kill. I have almost never run out of energy spamming my vorpal blade. Spam it. Get last hits with it. Get kills with it. AP is your friend with this build.
End game you will be doing...... the exact same thing. Except that by this point you will be out farming neuts for your Lichbane and using Teleport and Stand United to attend all team activities so your team doesn't yell at you for not keeping up. Don't forget when going into team fights that your Ultimate is also a shield. You don't have to use it only to rescue teammates far away. Use it to help a teammate tower dive if it means the kill and push.
Like I said, I'm not a top tier player or a mathematician and welcome all constructive comments on this guide. I have a ton of fun playing Shen and am always among the top in kills and assists at the end of the game playing this AP build. Special thanks go out to Kizuraki for the help in developing this. Enjoy.