I love Sion cause he can be a really good carry/tank champions...

I start with a Doran's Ring to get a little bit of Ability power,health & mana regen.

After I bought 2 Health Potion because we never know when they can save you...

Depends on what I need, I bought Boots of Speed for more speed or a Sapphire Crystal for more mana.

After I need to finish my boots to get Sorcerer's Shoes to get more movement speed & more magic penetration.

One of te things I think you most need its Sheen because with the passive your second spell will deal 100% more damage (so double damage) So I usually Does my Shield,Stun the target & than explode my shield...If you do your shield after stun the target you may not have the chance to explode it...

To get a little bit less squishy I bought a Warmog's Armor.

After I bought a Rabadon's Deathcap to get lot of more Ability power.

The 2 last items are very good but you can also take a lot of other stuff...

I take a Nashor's Tooth to get more attack speed,more ability power & more cooldown reduction.I think its a good item because Sion can do a lot of damage with his "E" (Enrage) who gives him more attack damage but cost health but Aniway you got a Warmog's Armor so you don't care if you loose 16hp when you attack cause you regain it.

I also take a Guinsoo's Rageblade to get more damage,more ability power & more attack speed with the passive of this item you may kill someone really quick ;)