I have been playing Shen for a long time and he is STILL my main. Over the patches and hundreds of games I have found this to be a strong Tank build. I wont bore you with talk of map awarness, being mobile, not over extending, last hitting, how to dash through walls....plenty of people have that info out. This is just a build with some explanation. Fell free to comment.

Runes are straight forward.
Magic Pen for Vorpal Blade
Health for passive and tanking
MR for those darn ranged casters

9 into offense for Vorpal Blade, and lane farming.
21 defense - pretty standard for a tank

Doran's gives you nice lane time, great first purchas. This can be sold anytime after Randuin and Force. The Pick is for gold over time, and a great farming tool. This will get you TONES of last hits on creeps. I keep this until I have to upgrade it end game. It adds a nice little something to your shield and ult. Boots I buy after my first armor piece, because I don't need the extra movement early in the lane. Get your boot however before you start your map jumping. Boots/Randuin's/Force is your core build. I don't care who your playing, 75 armor and 101 MR is a strong tank. You do need a mix of both to live through a team fight. After that, it does depend on your opponets. Typical i get Mallet if we're winning. If its even or losing, I get Hexdrinker (against strong AP) or Thornmail (against strong AD). Haunting Guise is a nice upgrade for the Pick...if your game is lasting that long.

Don't get:

Warmongers - You will never get good stacks, it is expensive, and offers NO armor or MR
Sunfire Cape - Its a great item, but I HATE it. As the tank you are the first one in on a tower. As such, you should be taking the tower hits and hits from champs, but with sunfire you start taking hits from the tower instantly. The cape hits the defenders and the tower targets you before you get close enough to hit it. No need to start taking the damage before you need to.