Sion is a champion who can be played in many different ways.
He is not necessarily a tank, he is not necessarily AP, he is not necessarily AD.
But most people, and count me in, favor him AP with a tank side.

You start with buying dorans blade, pretty standard I guess.
Then the boots with magic resist and decreasing buffs (he is a tank).
Sheen is then necessary because you will notice a chortage of mana.
Then go for aditional AP with lich bane (also give a enough magic resists combined with the boots for the rest of the game)
Hourglass is the thing that really makes Sion get scary.
He then has about 350 ap (prolly more) and will have an awesome shield.
Bloodthirster is just something to make him stay longer in game without having to retreat.
But you prolly wanna buy something that influences your specific game more.
So don't buy it, buy it, do whatever the fck u like with it.

Cryptic Gaze: Stun and little damage.
Early game; you have to use this as much as possible (thats why you start with dorans ring and have mana regen runes) because this will always put your opponent in a difficult place. For they think you'll attack or that you can retreat or to split the 2 champs in the lane.
Late game this will be used to escape or to chase obviously.
Death's caress: Exploding shield
Early game; I always take this as my second ability because this will make it quit hard for your opponents to kill you in combination with Cryptic gaze.
Late game; this stays the same, I guess. Only you may not forget to let it explode while chasing, damage = damage :)
Enrage: What makes sion awesome!
Early game: You have to farm as much as possible!
this is really important, other wise you won't become a tank.
Yes it deals damage, but it gives you a huge AD boost and PERMANENT health.

Cannibalism: I Kill You
You just use this whenever you feel like it.
It will always be awesome, just remember it lasts 20 SECONDS.
Thats a looooong time. so don't use it to kill one enemy. Use it when you have half of your health and there are 2 or 3 enemys.
AND DON'T FORGET: I HEALS ALLIES TOO!
His passive is nothing special

Pros:
- High Health
- High damage output
- Can tank more than you can think of
- Very helping-allies ulti
- Got a stun
- Have no problem farming (but its a must)
- Kill a creep and you got a health
- OP ganker
- OP hero when used right
- OP ulti when used right

Cons:
- Low mana (thats why runes and doran blade and a bit later sheen)
- If the gank failed, hes screwed (they u have to use shield and run to tower)
- Useless if played wrong
- Bad early games is making his mid and late game worst
- He's already dead (undead champion, meaning he already died once)(LOL ^^)