Not Updated For Current Season
Shen is by far my favorite champ in the game, generally speaking people don't like to tank so I've played Shen for about 50% of my games and this is the build that I've found to be most effective.
As you can see the core of my build is cooldown reduction, randuins and spirit visage are hence a must for this play style. The reason behind this is Shen's ultimate which shields and ports to any ally on the map. Best utilized early game to keep your peeps alive and for baiting suckers/catching out fools who over extend. Then late game for keeping your initiator, or whoever the badies are focusing, alive through the initial burst in team fights. Its also handy if you yourself have overextended and need to gtfo as it is quicker than blue pilling to base.
Shen's other strength is his pretty devastating early damage output. What I do is try to lane with someone with a stun or good slow, start harassing with your knife generally once you've got it to lvl 2 but you could start earlier then when the baddy has about half health you shadow dash to them, ki strike, ally stun/slow and attack, exhaust if you must (whether it be the target or to negate his lane partner's lame attempts at hurting you). You'll get the kill 80% of the time
The other items: FoN, Banshees and Thornmail are pretty basic tank items, I know that you're wasting the mana on Banshees but the magic resist, health and spell block make it worth the wasted 400g. Although it won't normally get to that stage you can easily switch out the spirit visage for one of those alternate items depending on any composition later on.
Back to the original idea behind this build. Essentially its all about mind games. You want to demoralize the enemy here and what better way to do that than refuse their mid carry every kill he attempts and chuck in some solid gank rebounds for good measure. Because an angry/annoyed enemy will make mistakes, mistakes you can capitalize on.
Now in order to not waste Shen's ulti later on you want an initiator other than yourself, whether it be another tank or a xin-esque teammate. Otherwise you might find yourself initiating and in the panic being unable to get your ulti off. Ideally you will be in one of the other lanes pushing your creeps up and watching your 4 mates getting ready to battle, as soon as anything gets going you will want to ulti in, taunt, shield, pop randuins, exhaust their dps if necessary then watch the carnage unfold.
Here's some of my tips:
Your knife is good but don't go nuts with it because you're the tank/support not the damage dealer, save your energy for taunt. Whats the point in getting off 300 dmg then watching your squishy die cos you can't taunt the baddy.
If you're getting pushed back in your lane remember the tower shifts attention from minions to champions if they attack you in range, so chuck some taunts in and let the tower do the rest. Also you can taunt > exhaust the melee fools for some cheap kills on early divers.
Remember your knife heals allies, knife the bigger creeps and let you and your teammate recoup any health lost from enemy harassment or whatever. It'll frustrate them using their mana to see nothing come of it, remember mind games.
Side note: I've put starks in because the attack speed is good for getting your ki strike (which does a surprising amount of damage with 3k health) off and the aura. Obviously don't bother if you're team doesn't have more than 1 dps. Phantom dancer, again for the attack speed but also for the movement speed, always useful in chasing or escaping. Now this sort of thing is only really worth thinking about if you've got another tanky ally to share a bit of your tank duties but as I've said that is what you want anyway.