I know it's weird to build Zhonya's first, but you gotta trust me!
DISCLAIMER: This guide is intended to get you out to an early start by rushing heavy AP items first! If you fail to get kills (or assists) off early ganks this guide will be much harder to follow. This is a burst guide, if you can't land your spells find an attack speed guide. Zhonya's will make you god.
However, if you do indeed land an early kill or two + a good round of jungle you will be unstoppable (refer to screen shot match history). Also, READ ITEM JUSTIFICATION SECTION.

P.S. If you fail gank with Diana you should probably uninstall now.
Happy Pwning

-Love Deadrat5

Boots Start with these because you're jungle Diana, duhhh!
Blasting Wand Make sure you get this next for early ap. This item makes ganking early possible. You will have enough ap to burst down enemies before they can get away. Even though we don't build it into Rylai's until later, we need this right off the bat.
Needlessly Large Rod We get this next for tons of ap. If you can get a kill from the blasting wand (which you EASILY should do) this will make the enemies go cry to mommy.
Zhonya's Hourglass THIS IS THE KEY PART OF YOUR BUILD. Get this early and you will win every 1v1 as well as be able to initiate team fights.
~~~~~~~~USE IT, don't forget about it. Initiate, blow all of your spells- if you're taking dmg pop it. Once it wears off your spells will be refreshed.~~~~~~~~~~
Rylai's Crystal Scepter You are a close range ap. you NEED health. This is a must.
Rabadon's Deathcap Here is your core ap. If you can get to this quickly it's GG noobs! You can interchange this with Rylai's if team fights haven't started yet.

From here you choose what to build. If you are getting focused like a hot girl at Daytona beach build more health/ap. I know it's weird, but from here I have build Rod of Ages for the all around stats. Usually by this point the game is over and you have single handedly mind f*cked the other team into never wanting to play this game again.

Follow it! Gank once you get lvl 4 and your E

Pros:
Follow the guide and you will F kids in the face!

Cons:
NONE!

Smite Get it.
Flash Helps you catch up to running enemies for early ganks. Late game it is used for positioning in team fights. HIGHLY RECOMMENDED!
Exhaust Good for ganking in the beginning, although not really needed because of E.

You will be tanky enough to initiate fights and then Zhonya's Hourglass if you get targeted. You must remember to take out the carry first, if you don't... you are a fail Diana and should quit.
Don't blow your ulty!! Only use when you have hit someone with your Q.

This will get you to LvL 4 quickly so that you can begin ganks
Wolves- get your team to help you auto attack them.
Blue- Heavier the leash the better. SMITE
Wraiths- Kill em' till they die!
Wolves- Go back and get it again
Giant- Use smite then back to wraiths. If not lvl 4 by now go kill Wolves again then bank