Shen is a support tank champion that any team would love to have on their side. His ultimate (Stand United) and his Shadow Dash are what Shen is known for and are what make Shen an extremely useful tank in any ranked or normal game. In this guide, I will show you how to build Shen into one of the best tanks in the game.

Vorpal Blade (Q): Shen's main attack skill. Select a target and throw a blade at the enemy, dealing damage. Attacking units with this blade attached to them will return a percentage of the damage dealt as health.

Feint (W): A shield. Click W to pop a shield on Shen, absorbing damage. A properly timed feint can block out most of the damage taken.

Shadow Dash (E): It's an escaping tool, a chasing tool, an initiating tool, and a life-saving tool all in one. It's a skill shot where Shen dashes to the cursor's location. Any units Shen passes through are taunted for a duration. As I said, it's one of the most versatile and useful skills in the game. You can use it to dash through walls to escape a gank. You can use it to taunt enemies that are trying to focus down your carries. You can use it to initiate a fight. Anything is possible with Shadow Dash.

Stand United (R): This is one of my favourite skills. When you see a teammate dying, pop this ulti on them, and you will place a shield on your ally and teleport yourself to your ally's location after channeling for a few seconds. This is the skill that turns fights around, that turns 1v1s into 1v2s and the skill that excuses you for entering a teamfight late. With this skill, you can be anywhere on the map doing your own thing, and if your teammates start a teamfight, just simply ulti your carry and teleport to where the teamfight is going on.

The runes I decided to use are magic penetration marks, dodge seals, cooldown reduction glyphs, and health quints.
Magic penetration marks are for his Q spell (Vorpal Blade) and his passive Ki Strike, which are his only two attack moves.
Dodge seals are because Shen's a flippin' ninja xD and dodging attacks can be a difference between life and death at low health.
Cooldown reduction glyphs to reduce the cooldowns of Shen's abilities. Having a short cooldown on Shen's Feint (shield) can block out a lot of damage while running away.
Health quints are standard for most champions. It gives them a significant advantage over other players early game.

With masteries, I just used a standard 9-21-0 build, making sure to get the magic penetration mastery from the offensive tree.

I chose Exhaust and Teleport, but these can be interchangeable with Ghost, Clairovoyance.

Out of the gate, I start with a Doran's Shield. It's a very good item for early game laning, and it allows you to survive in lane even if you make a mistake or two.
In lane, I usually farm until I'm level 6-8. By this time, if I was lucky to get a kill or two early, I would have enough to grab some boots and a Giant's Belt. I find that Giant's belt is a very good item to have early game because it gives you the health advantage over other players, and even if you don't have much armor or magic resist, your numerous bars of health will still intimidate your enemy.
Then I finish the boots into Mercury Treads which is a very good tank item. It reduces the duration of CC's and allows you to get back into the fight faster.
After Mercury Treads, I finish my Giant's Belt into a Warmog's Armor, again for the intimidation of having a lot of health.
Then I build either a Chain vest (for armor) or a Negatron Cloak (for magic resist), depending on whether the other team is mainly AD or AP. I build the Chain vest into a Thornmail and the Negatron Cloak into a Force of Nature.
At this point, you've become a very good tank. You have the health, the armor, and the magic resist, so what I like to get afterwards is a Guardian's Angel. It gives you additional armor and magic resist, and it allows you to stay alive after your health hits 0.
And if the game still continues, just grab a Sunfire's Cape. It gives you additional armor and health, and it damages all enemy units around you, which is still at the very least useful at this point in the game.

Last hit minions using your vorpal blade.

To last in lane, vorpal blade minions and continuously attack them to regain health.

When you see a teammate about to die, use your ultimate on them, but if your teammate if being ganked by like 5 people, don't bother trying. You're just going to die as well.

Use your feint skill to block out damage from skills that take time to reach you. For example, Nunu's Ice Blast can be easily blocked by Shen's feint if timed properly.

Use your shadow dash to run away from people, dash through walls, and taunt enemies. Remember to always aim your taunt where your enemy's going to go, not where they are.

AND ENJOY YOURSELF PLAYING SHEN!
WARNING: YOU MIGHT GET TIRED OF WINNING AFTER PLAYING TOO MUCH SHEN. xD