My sion build i build him as a DPS and crit champ so i focus on attack speed first because his E gives him the dmg early to mid game then i switch over to dmg mid to late game chances are you will ether agree or disagree with my item choses but here he Immortal Sion.

Pros
Hard to kill
Impossible to kill when using ulti(as long as your attacking someone)
High Hp(but as your are sion you will have high Hp no matter what build it is)
Insane Dmg
Cons
Low mobility
no escape ability's
Low Mana Pool(you don't have a lot of mana)
High Mana cost for ability's

just the normal 21/9/0 do i really have to say more

crit dmg marks for higher dmg and it complements his item build , health by LvL seals for survivability, Mana by LvL glyphs to help with his low mana problem, 2 crit dmg quint and 1 crit chance to help early game.

ok first i get mainly because of his E ability. On your first trip back (witch for me is normally around lvl 6) get and if you can a after i just keep farming minions until i can get and now focus on if you haven't already on taking out the tower in your lane so that you may aid your ally's in other lanes or jungle for some extra gold so you can get now start working on getting your now if you have been farming good you should have around 150 minion kills so should give you 70 dmg the last item is really up to you witch best will aid in the current situation.

i start with stun(Q) for two reason in case of a gank or to help get first blood the i leave it at one and get E the W at LvL 3 and leave W at LvL one and max out E first then Q second and Lvl up Ulti when ever poissible and LvL W last

This is my sion build it may or may not change in the future but this build works best for me comment, rate, tell me your thoughts is it good should i change something or is it completely horrible all criticizing is welcome.