I have designed a system that calculates the effective hitpoints of a champion based on his base level 18 stats for hitpoints, armor, and magic resistance. These calculations are based off of public knowledge that can be aquired from lol wikia sources. The build path (except for mercury threads) are the best items you can buy for your money when taking into account effective hitpoints. The intermediary items are not listed and shall be included in future updates. This is just a rough draft.

The runes in this build is primarily Magic Resist.
I could be wrong but I have not seen this explained in many guides. Shen has 30 MR at level 1, and does not increase per level like armor does. It is still 30 MR at level 18. As such, there is a high value that I place on MR runes. This gives shen a healthy boost at level 18. Less MR will be required from items.

With this build you can effectively solo mid (against anyone) and make a very effective partner anywhere else on the map.

Q - Skill this first so you have a ranged attack. Getting this first at level 1 is a must. You have to be able to keep your enemy from approaching you. Launch off a Q when your ki strike is available. Run towards opponent launch Q then auto attack. Nice chunk of burst damage. Then run off. Dont forget to use your shield if enemy is likely to retaliate.

W - Severly underated in most guides, some even say to level this last? Max this one first I say. It will keep your HP full almost guaranteed if the enemy should try to harm you. This makes running away and staying alive very effective as you can run for miles without dying. 250hp every 6 seconds? Nobody can do enough dps to kill you if you have this maxed with your Armor and MR so high.

E - Put atleast one skill point into this early on (as necessary, earlier if duo lane, later if solo mid). Some people think you cant do DPS so they dive into your turret to hit it. Just taunt them and it will force the turret to target them instead of minions. Also helps to peel opponents and allows your allies to flee. Also helps them to dps if your in a position to win. Remember to shield before/after taunting.

R - Enough said, use this to turn a losing teamfight into winning one. You will get so many o shen I love you's!

Heal - Do you know how much effective health a heal grants shen using this build?At level 18, it heals target for 500hp. On someone like shen with high armor and magic resist. Effective hitpoints would equal to (500*(100+240)/100) or 1700HP.
Teleport - This is just like Stand United (Shens Ult) without the shielding. Have a teamfight about to occur? Teleport and save your ult for when its really needed.

Pros - 4773 HP
Pros - Effective HP (Armor) 16,228
Pros - Effective HP (Magic) 14,640
Pros - 70% Damage Reduction
Pros - 67% Magic Reduction
Pros - You will never die in a 1v1 (you might have to flee, but you definitely wont die).
Pros - You will be so tanky you can take on 5v1 for long enough for your team to mop up the pieces.

Cons - Very little damage output (this is shen were talking about).

Shen Juking Play Video