Pros:

-excellent tank
-usefull in teamfight
-great against AD Carrys
-good escape mechanics
-Nice dmg
-great engage with E and W

Cons:

-Bad farming abilities
-Item dependent
-no dmg against other tanks

Ruby Crystal


Start with Ruby Crstal and you won't have any problems. The bonus dmg on your Ki Strike will be high you will have tons of hp and your Vorpal Blade will heal you great.Build a Heart of Gold for the 10g every 5 seconds.

Mercury's Treads


This item is great with Shen and it is good if you have to fight against Gangplank because of his slow.

Randuin's Omen


Great item nice active and passiv. Gives armor hp and hp regen.

Frozen Mallet


Very much hp and the passiv is great for Shen bonus 20 attack dmg.

Hextech Gunblade


This item gives you nice dmg and an even nicer active. The spell vamp works great on your Vorpal Blade .

Force of Nature


The item with the most magic resist.Hp regen works with Vorpal Blade and lifesteal.

Sunfire Cape


Nice passiv great with your Shadow Dash. You get much hp and armor too.

Ninja Tabi


Nice item can be taken instead of Mercury's Treads

Warmogs


Most hp in game gives your Ki Strike and Vorpal Blade a nice boost.

Abyssal Scepter


Good if your ap carry is fed it will help you with its passiv.

Guardian Angel


If you die alot which shouldn't happen take this item it gives a good load of armor and magic resist.

Thornmail


If the enemy team is very ad heavy take thornmail because the passiv is nice and 100 armor is totally worth the price.

Exhaust


I prefer this because it is great if you have to face an AD carry or you want to chase somebody.

Flash


This spell is the best escape mechanic and good to catch up to somebody.

Heal


Nice spell it will save your or your teeammates a** many times. Great in combo with Stand United .

Ghost


The option to Flash but it can don't take it with shen.

Team Work is very important for shen. It is your job to watch over the map to save your teammates with Stand United or jump in with Shadow Dash.

Always remeber to use your Feint because it will lower you cd on your Ki Strike and always throw you Vorpal Blade on the focused person ( which should be the ap or ad carry).