I've played the other Shen builds when I started and didn't have too much success and this is what I think is the best way to utilize what Shen really is, hybrid tank\dps.
I play extremely aggressive all the time so just being a slow boring tank that nobody is scared of just wasn't fun.
Most people I play with say he's underpowered and\or not "competitive" and I think that's mostly because people just build him straight tank like an Alistar and that's not where he shines because he's easily ignorable in that aspect.
LETS GET TO IT!

I use Armor Quints & marks so I can skip the masteries for better choices.
Magic res Glyphs for early game in case you have an AP in your lane.
Dodge seals are hilarious and in combination with your W, will make that last hit on you soooooo much harder to land while your teamates can easily focus down your attacker. They REALLY make people mad on the other team. Imagine if you just blew a cooldown and it only worked 70% of the time? Yeah umad.

I start with boots & 3 health pots.
Immediately upgrade to ninja Tabi. The armor + extra dodge mean you can help your lane partner decimate your lane and take all the harrass you want with minimal consequenses.
Then I choose either Giants Belt or Chain vest depending on my money when I go back.
With the armor you'll have to play slightly conservative but if you have enough for the belt upon return you'll be so beefy back in lane you can completely zone them out and control it for your partner.

You don't get much farm early on and money is important for this build to be successful as you're a mid game monster. This is the single reason I choose to rush the Sunfire Cape. It's armor, it's health and it's AOE will start getting you a lot of gold.
By this time there's a lot of ganking and lane support needed so you can easily clear 1 or 2 waves of creeps if you just ported and saved someones life while they're back at base healing.

From there I go Sheen and this is where you go WTF IS THIS GUY DOING??
Well simple, Shen doesn't frighten anybody as far as Damage goes. You slap this on and BAM you Q somebody then ki strike them and their health all of a sudden plummets and if they try to run you can taunt them back to you and you or your partner can easily finish the job. Now the other team is scared of both your power and your defensiveness. Now they will be too scared to overpush or try and dominate any lane and this gives your team a HUGE boost to not have to worry about that.

Next I pickup a negatron cloak to take any magic they send my way.
From there you can go Force of Nature.
Don't waste time with a Banshees because by now even if they CC you, your W will take the 1st hit and you'll easily live through any onslaught they send to you with all the armor and magic defense combined with your dodge and health regen while your teamates melt them.

Next up another Chain vest until you can afford a Guardian Angel. Now you just simply can't be killed in a teamfight. a 2 second taunt then you take a barrage of hits and this allows your team to focus down their 2 primaries and even if you die, they'll wait around to focus you again on rebirth and your team will destroy them for this greed.

Last item since you'll be taking inner turrets, your team needs more help to stay alive which is why I get an Aegis of the Legion. It helps more than it looks like when your team is battling under their turrets with wave upon wave of minions.

I see too many people maxing taunt 1st. Sure that will help your carry partner get kills before they're obliterated off the field but then what happens?
Max your Q first. The more life tap the better. This in effect heals everyone that attacks that person. It also hurts A LOT in lane early game. Once you have sheen and hit with this and a ki strike, you get healed while their health exits stage left!
All your lane partners have to do is keep shooting at your life tapped enemy and they can almost withstand a barrage themself until your taunt is back up to take away their focus.
I like to get 150def into my W before I focus again on the Taunt. That way it blocks any 1st and last hit entirely during your fights mid game. Add one more point at level 15 then finish off your taunt.

I ALWAYS go Teleport Ignite and here's why.

Teleport:
You need to be everywhere and anywhere at the drop of a hat. This is your job. You police the lanes and help assure lane dominance for your team. They're low on health and need to go back? You port there to make sure their enemy doesn't get to free farm. Your teamates enemy is low and they can kill with a tower dive? You Ulti to them assure the kill and let them maintain creep and lane dominance, then you quickly port back to your lane and resume the game so your solo champ can outfarm and outlevel his enemy.

Ignite:
I choose this because it assures lane dominance and nothing else.
Enemy comes in and you think you might die from it you pop ignite on them life tap them and face them headon. 80% of the time they'll run like a baby once they see you healing and taking away a ton of their health. This plus the additional 5 AD\AP from the mastery and your shield means you might still kill them even if they stay to fight, otherwise they'll be running back crying to their base to heal while you can farm or go back and your teamate can free farm. Even if you die from it they'll be so weak they have to return and your partner is either back in time to finish the kill or just to free farm away and maintain control and level dominance.
It's also extremely valuable for those pesky ghosters that try to get away at the last second, pop it on them and if it doesn't finish them your lane partner probably can with his full health and a very quick tower dive. Never underestimate the power of true damage.

With the item\mastery selection this is how you play Shen in a "competitive" way.

DOMINATE YOU LANE.
Harrass with your endless Q and just patrol in front of the minions. You can easily keep melee off xp with your shield and ranged off with health pots, you take minor damage considering you and your partner will be 2-3 levels ahead by level 7 or 8 and that makes a HUGE difference mid game which is where you really shine.
Once you have the Sheen then you can go crazy and help your team win the game by 20-25mins even if it seems even your enemies on bot lane are behind in levels which makes the solo and even jungler above them and when they show up guess who gets melted immediately?

DON'T BE AFRAID TO DIE.
If it assures your partner gets 1 or even 2 kills plus all the free farm afterwards then it's WELL WORTH the death plus you'll get the assist gold equal to their single kill gold and be back beefier than before.
So many people are so concerned with kill\death ratio and that doesn't matter in this game from what I've found. Being 1-3 levels ahead of your enemy in mid game is what really matters and if you have that for you or your partner then a surrender is imminent.
If you're on Ulti cooldown and you see top or mid lane die then TP there and harrass the **** out of that lane to make sure the enemy goes back and doesn't get free farm. This will in turn give you some free solo xp and possibly a kill if they're already annoyed enough at you to want to trade blows.

If you have an OP late game enemy in your lane like Tryndamere or Nasus then your goal early is to stand there and trade blows with them, period. Do not let them farm do not let them push. If your partner is on board with you they will fall quickly or if you're solo lane then you just Q them 4 or 5 times in the creep waves then move in for the kill or make them return to base. Your Q is endless so use it that way.

If it's a squishy ranged lane then use your Q to farm and ping for a jungle gank and you'll be able to keep up with them in levels as well as a few gank kills.

The only real problem with Shen is that by late game you really fall off in damage output. If you played it correctly however you should have done enough work in early\mid to have your teamates way ahead in kills, levels and gold. By this late game time your main goal is to just become a tanky beast, to control everyones attention and let your team do the killing. With your life tap and 2 second taunt even the tankiest overfed Cho'Gath will fall shortly after your 2 second taunt wears off with a little team focus and you will still be in there giving out AOE dmg, life tap and soaking up damage from the other team.

With this build you have the opportunity to be a 15\4\10 champ if you enjoy tower diving or a 5\1\20 champ depending if your lane partner really needs more kills than you to shine. You will find your cape sometimes KS'ing and it's REALLY funny when it does so take it lightly and have a laugh about it.
Remember take a little CS don't let your partner have EVERY SINGLE creep, it just doesn't work.

This is my 1st guide and I'm a fairly new player to League in general but I really took a liking to Shen early on and have continued to try various things and perfect the character and hope to move on and try others as extensively as him.
If you notice any errors in this guide please let me know as well. Thanks guys and look forward to more exciting matches with everyone!