Starting Items

Building Doran's Blade and Health Potion are the best starting items for Sett. The Doran's Blade Helps a lot with early game damage, and gives pretty decent life steal.
First Item

Blade of the Ruined King Is always the best item to start with. Bilgewater Cutlass helps a ton with move speed and damage, and gives pretty solid life steal.
Boots

Berserker's Greaves are almost always the best boots. If you're extremely behind, then get a pair of Mercury's Treads or Ninja Tabi. The reason why getting Berserker's Greaves is the best is because it gives you significantly more damage on towers, and it can help you get your Knuckle Down combo much faster, and your damage on towers is much, much better.
Second Item Options

80% of the time, you want to get a Death's Dance for your second items. You always want to get Vampiric Scepter for your first part of the item. If you're really, really ahead and you want to split push a lot, after getting your Vampiric Scepter get a Tiamat for the split pushing power. Never, never buy any full item but a Death's Dance for your second item. It gives you so much more power, and it helps you assert your dominance in lane.
Last items

Ravenous Hydra is always the best second item. The reason that this item is so good, is because it gives you pretty massive life steal, and it gives you a lot of split pushing power. Once you get your Death's Dance Blade of the Ruined King and Bloodthirster you can solo baron. This move is a little risky, because it's easy to get caught and your team will need you. I find it better to just get a teammate to help you with baron, because otherwise its too slow. It's debatable whether to get Sterak's Gage or Bloodthirster. It's purely situational, and if you need more tankiness get a Sterak's Gage or if you need more damage get a Bloodthirster.

Don't forget these!!!

First off, say glhf because they will need it :). Tell your jungler that you can't leash, because the strongest thing about this setup is the level one cheese. Gp into the bush closest to their tower, and wait for them. If they try to come into the bush, AA QQ will be your first combo. That should take around half their health in the time tha they can do one auto attack. No one beats Sett's level one. If you get lucky, they will walk into the bush while minions are spawning. This is ideal because they will not have time to back or they will miss to waves. If you get unlucky, they will just stay away from the bush altogether. This isn't a big deal, but it isn't very good. Walk behind them and if they try to attack you AA QQ and you will win the trade. Rush for level two, but don't push in the wave too hard or they will be able to go under turret. If the wave is in a good spot, immediatly after you hit level 2 rush to them with your Q move speed and E stun them. Follow up with a AA QQ and they will be really close to dying. Once you hit level three, ignite comes in. If they are low enough, you will be able to go under their turret, tank two hits, and W ignite them and they will die. If not, Q move speed E stun AA QQ W ignite combo. This is basically Sett's best combo. This should give you first blood. Depending on how much gold you have and how much health you have left, you may want to back. You should be able to rinse and repeat this. As soon as you get BORK you will basically be farming them from the move speed BORK active gives you. Once you have level 6, the combo will be Q move speed into E R AA QQ W ignite. Do not forget that if they try to get away, you can flash during your W cast to get away from them.

AS Sett, your job is not to fight in team fights. Your job is to stay top all game long, and apply pressure. If all goes to plan, you will come ahead of the lane and they will need 2 people to kill you. Eventually, you will be able to 1v2 after you get DD. Then, they will need 3 people to kill you. Make sure your team knows that you will be applying pressure all game, and when you are splitting they should be taking objectives. Sometimes if you play well enough, you can get two towers before laning phase is over. If the opponent team do not respect you enough and leave you alone while they try to team fight, don't try to team fight. Stay top and get towers and inhib. Once you get inhib, your job will be done. You will be able to participate in team fights and you will be massive. Even though you don't have any tank items, you are extremely tanky. If you follow the build, you will be healing 100-300 health per auto attack. Full grit W will heal you 500 health along with the shield.

There's really nothing to special about Sett. Some things that Sett can do is once he gets his Bork DD Spirit or Rav you can solo baron. Make sure your team knows this, as they will most of the time be useless without you. Tell them to defend the base while you take Baron, and once you have baron try and flank them. With this build Sett has a lot of one shotting potential. If they have a fed adc such as Jhin, you can just focus them. As long as you can get on them, you will eliminate them and at least one other person, and you will heal all the damage that you take. Sett has a lot of team fighting potential+++, and if you ever get low, attacking minions will help you heal a lot of health.