The way I play Kennen is to always go mid.
I start of with a Dorans shield for a little HP and armor which keeps me in the lane longer.
The first ability I choose is Thundering Shuriken (Q).
Reason for this is harasment of the oposing champ as well as last hitting minions because of the low CD. There is no reason to try ganking before lvl 3, which is when I usualy start.
Start combo with Lightning Rush (E) next throw a Thundering Shuriken (Q) and finaly add the final mark of the storm and a stun with Electrical Surge (W). Repeat twice and oponent is usually dead. Acctually worked on a Morde, thrice.

When lvl 6, blue pill back and buy Majais Soulstealer and Giants belt then tele back and LR (E), TS (Q) and ES (W) for stun then add ulti and see your oponents life drain quikly :)

When gaining lvls go top/bot and gank if possible, then tele back to mid. Important, do not be to agressive. Even though you do a ****load of dmg, don't get too cocky. You're pretty squishy..

All I know is that this build works for me, at lvl 18 I had in my best game with all items bought a wooping 859 AP :) one combo is enough to drop someone.

Any critics or ideas is well accepted :)