Hello!
Im ready with my first guide, so please be gentle! :D
With this build and guide i would like to show you how i play Olaf.
Please remember that i don't claim to be a top elo player nor pro.
This build can be modified into other setups depending on the your team and the enemies.
And feel free to leave your opinion and vote.

-Palshede

Now let's get started, shall we?

"Why should i pick up Olaf?"

Pros:

Superb in top lane
Good burst with true damage
Can't get CC'ed
Lots of damage! Passive + auto + true + abilities!
Got the best joke ever, if you have Brolaf skin!
Now a part of the band "Pentakill"

Cons:

Only one gap closer, can't be spammed, unless the technic is mastered
Can be a easy victim for ganks pre level 6
His main damage hurts him, if not used properly

My rune setup for Olaf solo top is fairly known be lots of both Olaf and solo top players.
I like going with:
Why? Glad you ask!

Marks: Armor pen, now who don't need that?
Seals: Armor is always good both in lane phase and late game.
Glyphs: Are kinda saying, but anyways... MR because of the tankiness from it. Like the seals it's both good in lane and lategame.
Quints: And last the quints, that extra damage, equals that extra burst. That damage can save you and give you a kill.

I start with Undertow for that early harass and damage, and it's good for farming, however one early point. Max it second. The good thing with this ability, is the cooldown mechanism. If you pick up the axe on the ground the CD is reduced!!! If you master this, your enemy can't flee, meaning you can burst him down = kill = profit, problem red team?

I take my first point of Tough It Out at level 4, for the spellvamp/lifesteal, so your Reckless Swing wont hurt you so bad. I max this last.

Reckless Swing is what makes Olaf, Olaf! The damage when it's level 5 is just amazing! You can take down any enemy with it, just remember to proc with Tough It Out so you don't get too low, when using it. I max this first.

Ragnarok, a truly amazing ulti! It allows you to walk straight past the enemy Amumu ultimate and just wear down the opposing team, while your team hits the rebound. This ultimate is on of the reasons why i run Ghost on Olaf. PICK WHENEVER

If you want to play carefully in lane, i suggest you go This allow you to farm safely with Undertow while spell vamping with Tough It Out and life stealing the creeps.

Ghost - Activate your ultimate and this, and just run across the battlefield dealing tons of damage with your spells and autos!!! Also Olaf has no natural escape if ganked, so pop this and ultimate if in problems, and you should be able to run to homebase.
Ignite - Good for laning phase, getting that last true damage on the enemy can be the difference between winning and losing Firstblood!

When jungling i use:
Ghost - Why? Look up
Smite - Jungling - duuuuuuh...

Other Summoners:
Teleport - If you know the lane isn't gonna be a kill lane, this might come in handy, as you can hyper gank every other lane, and quickly return back to top lane.
Flash - The only spell I would choice over Ghost, however it doesn't work as well as Ghost with your ultimate.

And here we is, the most important thing!
You don't have to follow this 100 %, but i have found that these items are good for Olaf.
I start Boots and three Health Potion, however you can start Cloth Armor and five Health Potion.
After this i usually rush straight for my Wriggle's Lantern, for that extra damage, lifesteal and armor - also you save some ward money.
At this point i end my boots build, Mercury's Treads, MR is good, and the Tenacity is really, really NICE!!! However if you need neither go Ninja Tabi
Spirit Visage is the next item up for grasps, this item is quite good. MR, HP and a passive that is good with Tough It Out, since the passive gives you more lifesteal and spellvamp.
Phage now, good for Olaf, the slow proc is devastating when chasing and the health is nice.
Phage should next be upgraded for a Frozen Mallet, again slow proc, this time 100 %!!!, and MORAAAAAAAAAAA HP!
Giant's Belt - no words, will be upgraded.
Warmog's Armor - we get more health, we like that, why? I'll tell you now, since im done stacking my HP now. HP always good for a tank, however it's really good for Olaf, because of Tough It Out gives damage depending on your health - we also need HP for the last item.
To be a real Olaf you need the tankiness and the damage of a God! and that will happen, now! The last item you should get is Atma's Impaler, the passive no need to introduce.

Situational/optional:
As mentioned, some items can be important to pick up, and these are my favorit ones, to pick besides this build:
The Brutalizer - A very good item, no doubt about it! You get an extra 25 attack damage, 10 % CDR and 15 armor penetration! You should get this item fairly early and sell it, when you need the item slot for one item.
Bloodthirster - more damage + lifesteal! I recommend that you go Bloodthirster in super long games, and switch it with Wriggle's Lantern
Hexdrinker --> Maw of Malmortius - more damage and MR + awesome passive!
Randuin's Omen - just another tank! destroy the enemy with this! If you want Randuin's i'll suggest you start your Heart of Gold fairly early for more gold.
Last Whisper - destroy the enemies armor
I recommend that you switch the Warmog's Armor.
Phantom Dancer - If you can see that the enemy team is not focusing you down in teamfights. It a really nice item on Olaf because, Olaf won't need to many high damage items, since he has his godlike true damage + his active effect from his W Tough It Out

This following section will introduce you to my jungle Olaf, so hang on!

I start at the blue side, with wolves next blue buff.
If a get a good pull, so i don't use Smite, i go straight for the enemy red buff.
But normaly i go for wraiths and golems. Lastly when Smite is up i go for my red.
With red buff I look for a gank at mid lane, or if someone else needs it, I help them out. If I see no gank options open, i recall and buy some stuff.

It's very important you know this technic, which is why i recorded it and put here!

Basically what you are doing, is:
Throwing the axe at the shortest range, why? Because Olaf auto picks it up, so the CD is refreshed and that makes it very good for jungling. Because if you know the camps and know where to place yourself, you can hit 2-3 creeps at the same time, and pick up the axe while autoing, so you can spam that Undertow and kill monsters faster!
So far i only got a video of me doing it at the wolves.
(I know it's low quality, but i hope you can see it)
Play Video

My best setup for a jungling Olaf right now.

Marks:
Attack speed, why not? It helps you clear your camps faster and is good when fighting.

Seals:
Armor. Helps you survive the creeps damage, and your enemies attacks.

Glyphs:
MR. Simple, lategame tank, nuff said.

Quints:
Damage, always good.

Other runes, i like using:
Greater Mark of Desolation ,armor penetration marks, just ignoring that armor, really helps.
Greater Quintessence of Movement Speed, for even more movement speed and that will help you big time, in ganks and in the jungle.
Greater Glyph of Scaling Cooldown Reduction, the CD is always good for spamming your true damage and your axe, again this helps you both in ganks and in the jungle.

Again you don't have to follow this 100 % I always start Vampiric Scepter and my next buy is Boots for the movement in the jungle and for the ganks, and maybe some Health Potion so you can last longer in the jungle, and maybe hit one more gank before recalling.
I rush for my Wriggle's Lantern right away, again, more damage, lifesteal and armor + that free ward, that is just saving your money right there.
Heart of Gold the more gold, the better! Also extra health is pretty kewl.
Mercury's Treads is next. Right now they are my favourit boots. MR and Tenacity is always nice, but if you don't need either, you should go Ninja Tabi for more armor.
Frozen Mallet once again, that slow proc alongside the HP is just too good.¨
Hexdrinker --> Maw of Malmortius now. MR and damage, and that passive can save your life in fights.
Remember that early on Heart of Gold? Good. This will now become a Randuin's Omen why? The active effect is just way to good in teamfights alongside the stats and passives.
Atma's Impaler, armor, minor crit chance and the passive, legendary item for tanks that want to deal damage.

I usually start ganking when i get red buff, however if it's needed or a laner askes, i go right after i get my blue.
The thing about ganking with Olaf is that, if you miss your first Undertow, you are pretty much failing that gank, so be cautious! Unless the enemy laner has overextended and is at your turret, that means you get atleast one more try, and if your laner has a stun, snare, slow etc. it's just perfect for setting the gank up.
But try to hit your slow!

Be on the look out for champs with high mobility like Kennen and Ahri, champs with CC like, again, Kennen and Jax and enemies with ranged harass, peeps like Gangplank.
The reason for this is, that even though Ragnarok makes you immune to CC, the CD is kinda high, so a champion like Jax will just jump on to you, and if your ultimate is on CD, he can stun and drive you to the ground.
So pretty much, range, CC or mobility = care!!!
Jarven IV - can just use his Q,W,E combo on Olaf
Jax - jump and stun. If your ulti is on CD, you can't outrun him, unless you can pop Ghost
Kennen - easily stuns you and can run you down with his E, also get the range on his side, so can poke you in lane.
Ahri - high mobility meaning she can run to you, charm you and stuff.
Gangplank - got a mini Ragnarok, got ranged harassment and got the global ulti and passive.

Olaf too stronk!!! No nerf we liek!

If played correctly Olaf should win top lane, almost everytime, but practice, practice, practice.

I really hope you will vote and comment. Again please note, i'm not a pro, i just like to solo this guy and win.

And remember this is the setup that matches my playstyle, really aggressive, so the enemy laner(s) get's respect for you and you can just zone them out. Farm, damage them and lifesteal and repeat...

Best of luck to all of ya!

8th of June 2012:

Expanded item list
Basic jungle build started
Added a short list of Olaf counters

9th of June 2012:

Fixed the text in rune section, so it's easier on the eye
Added new title for the build

23th of June 2012:

Fixed some spelling mistakes
Added new item in the item section
Wrote some more Olaf counters in the counters section - and why they counter him

10th of October 2012:

Edited some spelling, should be better now
Changed the skill sequence

13th of October 2012:
Added some more Summoner Spells

27th of October 2012:
Added a little more to the item section
Fixed some grammar
Added some more cons in pros and cons for picking Olaf