My first build on this site..... bare with me ;)

Ok, yell all you want jabbering on about how Shen is a tank not a DPS.
I basically have 2 builds for him, his tank build (I build this if no tank on my team), and this build (I build this if we already have at least 1 tank).

Essentially I guess you can consider this build a hybrid, as it buffs Shen's tank skills and his DPS skills.

Spells
I take Flash and Teleport as my spells, as Flash combined with Shadow Dash can help me chase enemy champions and as well as get me in and out of battles like no other Champion can do. I also take Teleport for the lol's of pissing the enemy team off by having total map awareness combined with my ulti Stand United.

Masteries
I take 9-21-0 Masteries, taking Archaic Knowledge in my Offensive Tree, as it buffs my Vorpal Blade. The 19 in my Defensive Tree buffs my Armor, Health, and of course Dodge stats as what good is any ninja that can't matrix ranged/mage champions and minions. Ardor is also a nice addition too.

Skill Sequence
The skills I take aren't too hard to decide, as all of Shen's abilities are equall imo. Although I utlitize Ability Power in this build, and Vorpal Blade and Feint are effected by it, I still think Shadow Dash is essential if you can stun the enemy champion for a longer amount of time. Plus a good ninja needs to dash with talent. :P And of course level your Ultimate whenever you can.

Rune Build
In my Rune Build I take 9 Magic Penetration Marks to buff my Vorpal Blade. I take 9 Dodge Seals and 3 Dodge Quintessences to improve my ninja skills, with 4 flat Cooldown Reduction Glyphs and 5 Cooldown Reduction per level Glyphs... this will allow me to spam Vorpal Blade.

Item Purchases
Early Game/Farming: T buy Boots of Speed with x3 Health Potions as my starting items. These items will definitely help me stay in my lane the longest combined with my Vorpal Blade. The next time I base, I finish my Ninja Tabi to incrase my dodge stats to vamp my Ninja(ness). Next I get Haunting Guise to up my ability power to buff my Vorpal Blade, Feint and Stand United. The +20 Magic Penetration will help my Vorpal Blade, and the +180 Health steadily keeps me tanky.

Mid Game/Team Fights: Mid Game usually starts when you got your flaming Sunfire Cape on. The Magic Penetration of Haunting Guise buffs the passive of the cape of 40 Magic Damage per second to enemy units, and of course the +450 Health and +45 Armor keeps you tanky again. My next item would be Malady to increase my Ninja skills. The +25 ability power is good while my +50% attack speed farms me minions faster. Although the passive of Malady is key, as it makes my physical attacks deal an additonal 20 Magic Damage and also lowers their Magic Resistance by 6 (stacks up to 4 times). Clearly Vorpal Blade is further buffed by both Haunting Guise and Malady.

End Game/Chaos: If the other team or your team hasn't given up yet and surrendered, then end game starts and chaos ensues. I try to buy Sword of the Divine to increase my attack speed further. The passive of every fourth attack deals 100 Magic Damage is also great considering my Magic Penetration and can also be combo'd with my Ki Strike. I'll usually activate it when up against enemy tanks. If the game is still going, and I have enough gold, I'll sell my Ninja Tabi and acquire yet another Sunfire Cape to increase my effectiveness of taking out large minion waves either in their base or ours. Immediately after buying that I'll buy Boots of Swiftness to keep my base movement speed up.