Skill Sequence
This is what make Mordekaiser Mordekaiser, this is what wins fights and what makes Mordekaiser undeniably the best bruiser evar! This is also what makes stacking health with Mordekaiser redundant, this shield is essentially your health and without armor and magic resistance your shield will be weak in turn making you weak. With this, Cooldown Reduction is perfectly viable to contribute to. The faster you can use Siphon, the more often your shield can replenish as well as keeping up your W up for maximum damage reduction and damage output. As a side note though early game you should focus more on your actual health as your abilities take it away, focus on last hitting normally rather then taking out the entire wave as easy as it may be each time, late game on the other hand spam away!

Q
The mace has its niceness to it, but a bit more disadvantages to leveling it first, one because it does low damage at early levels, two it doesn't build up your shield like Siphon does, and three because its a melee ability so put a point in it at level 4 and leave it be till level 13.
W
Creeping Death should be your second ability to max. It provides Armor and Magic Resistance which is great for both offensive and defensive play because it also dishes out considerable damage, if used around minion waves or multiple champions its the perfect way to keep your shield up over a sustained time rather then in bursts. Its a good tool for helping allies who are under attack as well. This is one of moves that benefit the best from CDR. By holding Alt and hitting W you will automatically apply this to yourself without having to click.

E
This is Mordekaiser's bread and butter. This is maxed first. Why? because not only does it generate your shield the best of all your abilites but it also does considerable amount of damage which is great for last hitting and harassing. At level 1 it doesn't do a terrible amount of damage but its a great tool for last hitting minions. Level 2 and up the damage greatly increases making it easier to dwindle down their squishes.

R
This is your ultimate, which is also a DoT and a HoT if you play wow (:. Which means not only does it do damage over time but it also heals you over time. With this in mind it can be used defensively just as well as it is used as an offensive ability, through it on a tank with alot of health you just healed up 35%+ of your health. Because this does damage over time it makes using ignite in combo with it extremely effective. This is also what allows you to take on whole teams if you can turn a 1v5 into a 2v4 or in team cases a 5v5 into a 6v4. When you kill and enemy with it on them you get them as your pet! As a note your Pets damage also builds your shield.