Hello everyone!
After I read many guides for Shen and playing the most of my matches with him I decided to express my opinion.I'm sure that many of you won't like my build because of one item but I don't care :P

There exists an ancient order originating in the Ionian Isles dedicated to the preservation of balance. Order, chaos, light, darkness -- all things must exist in perfect harmony for such is the way of the universe. This order is known as the Kinkou and it employs a triumvirate of shadow warriors to uphold its causes in the world. Shen is one of these shadow warriors, entrusted with the sacred duty of Watching the Stars - exercising judgment untainted by prejudice.

Born to a clan whose members have decorated the ranks of the Kinkou for generations, Shen was trained his entire life to become the Eye of Twilight, and thereupon to dispassionately determine what must be done in the interests of equilibrium. As his final trial to ascend to this position, he was made to attend the Takanu, a ceremony in which his father was tortured before his eyes to test his resolve. Any reaction whatsoever would have resulted in his immediate disqualification, but he never averted his gaze and never blinked, not once. As the Eye of Twilight, Shen must make decisions which would buckle the wills of ordinary men, removing all emotion from the equation. He now works with his fellows Akali and Kennen to enforce the balance of Valoran. This hallowed pursuit has unsurprisingly led the triumvirate to the Fields of Justice.

The Eye of Twilight sees not the despair of its victims, only the elegance of equilibrium.

Pros

Half tank
Half dps
Half ability power
Good escape techniques
Easy to survive ganks
Good farming
Good ganking
Good energy & health regen
Good at chasing down enemies
Great solo

Cons

Week early game
Targeted in team fights

9 Greater Mark of Scaling Ability Power
9 Greater Seal of Lucidity
9 Greater Glyph of Scaling Ability Power
2 Greater Quintessence of Meditation
1 Greater Quintessence of Scaling Ability Power
+________________________________________
+2,86 ability power per level (+51,48 at champion level 18)
+13,5 Energy Regen

0/22/8

Defence:

Resistance 3/3
Hardiness 3/3
Evasion 4/4
Defensive Mastery 1/2
Nimbleness 1/1
Harden Skin 2/3
Veteran's Scars 4/4
Ardor 3/3
Tenacity 1/1

Utility

Perseverence 3/3
Haste 1/1
Awareness 4/4

Regrowth Pendant
and
Health Potion

Regrowth Pendant offers 15 health regen per 5 sec that's why is very useful early game.If you have low or half health,
you can wait 1-2 min untill you have enough health to comeback into the fight.
In case your health is too low use your Health Potion to gain health quickly.

Philosopher's StonePhilosopher's Stone
and
Boots of Speed
and
Health Potion

Philosopher's Stone gives you 22.5 health regen per 5 + 5 gold per 10 sec.
That item is the best for early and early-mid game.That's your main source of money in combination with other items.At your first recall you must be able to buy this and a Health Potion.If you can afford it buy and a Boots.

+2Philosopher's StonePhilosopher's Stone
and
Ninja Tabi

At this time your build should look like this:

Philosopher's StonePhilosopher's StonePhilosopher's Stone

3 Philosopher's Stone=15 gold per 10 sec.
67.5 health regen per 5 sec.
Awesome right?Wait untill the next step :)

2 Heart of Gold

These 2 items are gonna boost your gold per 10 sec up to 25!
You gain 400 health and 52 armor.This will help you to survive and with the gold geration you'll be able to buy your items faster.

Warmog's Armor

Sell one of your Heart of Gold to buy this item.
But you must buy it when you have about 2800-4000 gold so you can easily buy your next item.

Frozen Mallet

Sell your last Heart of Gold to buy this item.
Now I guarrantee that the enemies are going to target you because you have a lot of health,
and with your energy and your awesome abilites you are a difficult champion to die.
As for the item,you gain a lot of health,some damage and of course the slow which is very useful when you chase or escape in combination with your Ghost.

Philosopher's StonePhilosopher's StonePhilosopher's Stone

Atma's Impaler

Sell one of your Philosopher's Stone to buy this item.
Now that you have a lot of health you should take advantage of it.
That's why Atma's Impaler is one of the best items especially for tanks,support,strong health etc.If you have 4000 health that means that you gain +80 attack damage!That is gonna make Shen very hard champion to defeat.

Phantom Dancer
Sell one of your Philosopher's Stone to buy this item.
Most of you are gonna tell that Shen is a tank and not dps.Shen has a lot of health and damage now.So why don't you buy a Phantom Dancer?You can easily kill an squishy enemy champion.

Void Staff

Sell your last Philosopher's Stone to buy this item.
That's your last item.I choose Void Staff a)because of its low cost b)+70 ap and 40% magic pen

Vorpal Blade

Damages target unit and life taps him, healing allies that attack the target.
Deals 50/95/140/185/230 (+0.65) magic damage to target unit. That unit becomes life tapped for 5 seconds, healing any champions who attack it for 10/20/30/40/50 (+) health over 3 seconds.

Cost: 70/65/60/55/50 Energy
Range: 475

Max it first as you can see at the Skill Sequence Board.
Reasons you must max it first:a)Very useful for last hits b)Low cooldown c)Deals a lot of damage if you use it repediately d)Good to farming e)It can heal you and your allies.

Feint
Shen takes reduced damage for a few seconds.
Shen enters a defensive stance, shielding the next 50/100/150/200/250 (+0.6) damage. Lasts up to 2.5 seconds.

Cost: 45/45/45/45/45 Energy
Range: 20

It can protect you in case your health is very low.
This ability saved me a lot of times from Te emo's, Twich's poison and enemy's Ignite when I had about 10-90 health.

Shadow Dash
Shen dashes rapidly toward a target location, taunting enemy champions he encounters.
Shen rapidly dashes to a target location, taunting enemies he collides with for 0.8/1.1/1.4/1.7/2 second(s).
Shen restores 50 Energy if Shadow Dash collides with a champion.

Cost: 120/115/110/105/100 Energy
Range: 25000

Shadow Dash has many positive usages such as:a)Taunt your enemy so he is force to attack you(use it when defending turrets and suprise the enemy b)You can chase an enemy(if you target well then the kill is guarranteed!) c)You're able to escape especially when the enemies are chasing you in the jungle(use it to pass through the trees,walls) d)You can cancel ultimate like Nunu & Willump's Absolute Zero, Fiddlestick's Crowstorm, Shen's Stand United(Cancel the teleport but the shield remains) and more.

Stand United
Shen shields target allied champion from incoming damage, and soon after teleports to their location.
Places a shield on target allied champion, absorbing 300/525/750 (+1) damage for 7.5 seconds. After channeling for 2.5 seconds, Shen teleports to the target's location.

Cost: 50/50/50 Energy
Range: 25000

AWESOME ultimate!
That makes Shen the best supporter!
Surprise your enemy and make 1vs1 to be 2vs1 :D
He is gonna cry for sure xD

Ghost

Catch and enemy who is trying to escape or run from losing fights,gank etc.
Also it can help you return to your lane faster.

Ignite

Deals a lot of damage at the early game and at mid game.
Although at late deals a little damage it is very useful against healers for example Dr. Mundo's Maximum Dosage or Swain's Ravenus Flock

Shen is very easy to play with him.
The difficult is how are you gonna build him?
So I tried to combine tank,dps and ability power and here's the result.


Thanks all of you who view,comment and vote my guide =D