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For Those New To Shen (Bread and Butter Plays)
Shen is a very useful champion, but that's probably not why you're trying him out. You are almost certainly using him for your first time because he is a ninja. And that's cool, but before you go off doing your ninjutsu business you should probably know how best to use said ninjutsu to help your team. I'll begin by breaking down his abilities.
Ki Strike (Innate)- Every 8 seconds your next auto attack does more damage. Cool, just the icing on the cake that is Shen, although it definitely helps in the jungle.
EDIT: A lot of people forget that whenever Shen is hit by basic attacks the cooldown on Ki Strike is reduced by 2 seconds. This is part of why his taunt is so good, forcing them to attack him recharges his Ki Strike faster which helps him destroy squishies.
Vorpal Blade (Q)- This is your best friend, it deals magic damage and heals all allies who attack the target. This enables you to jungle and allows you to heal off of the minion waves.
Feint (W)- This is your shield, it will rob your opponents of many kills they think they have on you.
Shadow Dash (E)- The dreaded Shen taunt leads to so many successful ganks and team fights, master this ability and you will provide a much needed advantage for your team.
Stand United (R)- Your teammates will love you forever if you know how to time this, because it can turn the tide at the press of a button. You can save a fleeing carry, your pusher can tower dive without fear, the possibilities are endless.
When farming, be sure to spam Vorpal Blade, this will ensure that your health bar is stable. This is also the reason he can sustain himself in the Jungle from the get-go.
Feint is great to use when you initiate and when you're being chased, because it absorbs a solid chunk of damage from attacks/abilities. It contributes greatly to Shen's "immortality."
Shadow Dash is your initiatior. Early game you'll use taunt to gank enemies (More detail in "Ganking".), mid/late game you'll use it to initiate team fights. It also happens to be a great escape tool, if needed.
When an ally anywhere is in danger, Stand United them. Don't do this if you can't save them or turn the fight around.
Shen is simple, and that's why he's so great. Keep your team alive and you're doing your job (don't be worried if your death count is high, as long as your allies death counts are low). But be sure to manage your Energy levels, because your max energy does not increase per level, and neither does the rate of regeneration. Space out the timing on your skills as much as you can afford, to reduce the risk of being unable to use them.