Pantheon is usually played top lane, but makes a very good jungler based on his W (Aegis of Zeonia). Aegis is one of the few point and click stuns in the game. Your Q (Spear Shot) is an excellent gap closer or engage mechanism. Using your Q when player try to get away is good. It's also a high source of damage.

The last ability that really helps Pantheon be a good early ganker (Aegis Protection) is helpful. Every fourth attack you make, you block the next incoming attack doing more than 40 damage. This block only works on basic attacks and not on abilities. You automatically gain a stack of this passive when triggering your W (Aegis of Zeonia), so you could block back to back basic attacks.

Your win condition here is to get your lanes snowballing ahead early. You have excellent harass on champions like Nasus and ADCs.

Pantheon is an AD Caster, so you'll be focusing on AS and AD items. You'll want to end the game before major teamfights happen. You're much better off running solo or looking for a pick.

Pros

Great early game jungler.
Good against champions who rely on basic attacks.
Great clears for someone without much natural AoE in his kit.
Good single target burst.

Cons

Falls off hard later in the game, as damage is not heavy in this build.
Needs vision dominance to be effective.
Vulnerable to CC effects.

Core

Build Bloodrazor to get an effect similar to Blade of the Ruined King. Namely, each attack does % max health damage.

Beserker greaves increase attack speed.

Against Heavy Magic Damage Compositions

Build Wit's End. It gets you the tankiness needed and still improves attack speed.

Against High Armor Teams

Build Ghostblade next. It will help close the gap and give those fast attacks just a bit more bite.

Need Magic Damage?

To be frank, you should probably play another champ if you needed a primary magic damage person on the team. However, you can build a Hextech gunblade to give you attack damage and magic damage. Plus, the passive is pretty nice sustain.

Rageblade is also a great option here, as it procs on hit effects more often.

Need Sustain

You can get Hextech Gunblade or Blade of the Ruined King.

Great Closer
Rageblade works on almost any combination of this build. Whatever items you pick, you'll get more use out of them. You'll have higher attack speed, which procs your passive more. You'll get a bit of ability power, ensuring you bypass players that do not build magic resist. Plus, this gives a bit of additional damage as well.