A quick overview of this builds goals and such.
1. To be a massively powerful burst caster.
2. To be able to take one enemy completely out of any fight.
3. To farm hard.
4. To have a good time.

This is a pretty standard rune page for casters so theres not too much to talk about. The early AP and Magic Pen are really nice in lane and especially with those Doran's rings you should have no problems.

Masteries are a different story. I really like this mastery set because it gives you just enough offensive ability to have tons of early game power, but leaves most of the points in utility for cooldowns and mana; two things Sion is constantly short on.

Summoner Spells are very individualized for Sion. Some people really feel they need Flash. I honestly find that Ghost is an equally good choice because it allows you to continually beat on them with your red axe, and lets you finish a shield burst without a stun. Exhaust can be used the same way, or to save a life.
I think the only other spells you should consider are Ignite, and Flash. If you do choose to take ignite, tweak the masteries so that you can get the extra AP after you use it. As for flash, the same thing stands. Take point from somewhere else in Utility and take the flash mastery.

This build is mainly designed around early game destructiveness which translates into late game power. I find the best way to do this is through AP. And lots of it.

Doran's Ring(s): Such a great item for Sion. Gives you the beef you need to stay in lane, and the extra boost to AP lets you start with 39 at level 1. The second one is optional, but I highly recommend it as it allows you to cast more often with the extra mana regen, and it makes your 1:1 scaling incredibly fun.

Sorcerer's Shoes: Pretty obvious. The only other option I would recommend here is maybe Merc Treads, as they'll allow you to chase a little bit better.

Rabadon' Deathcap: Not much to be explained here. Gives you enough AP that your shield and stun combo will deal more than half health to most squishies and will cause beefy dps to think twice before they come at you.

Zhonya's Hourglass: Such a great item for Sion. By the time you can afford it, you'll be fairly beefy from your E, and the armor it gives will make you even tougher to kill. The active effect should be used offensively, buying you valuable time (pun) to get your cooldowns up.

Void Staff: By the time you can afford this item, the other team should have built some pretty serous MR, meaning that you should get some Magic Pen to counter that. Void staff fits the bill perfectly. Still giving you enough AP to be a viable item, but destroying the enemy champion's MR as well.

Now this build obviously leaves space for more items. As always, your 5th and 6th items should be unique to the game you are playing. Sometimes more Magic Pen is necessary, I suggest Abyssal Scepter. Sometimes you just need more beef. Rylai's is a fine choice.
For those of you with more confidence (or a mad early game) Mejai's works remarkably well with Sion. His impressive ability to get away means that he won't be dying too much, meaning those stacks are yours for the keeping. I would suggest it early as possible if you feel that its going to be one of those games.

I find this skill sequence to be the easiest when playing aggressively. A lot of other Sion players choose to max their shield first, which is also a fine choice, especially if you're dealing with a ranged lane, or a high damage champion.
*Side note* If you should find yourself laning against a Teemo, or another DOT champion, I strongly suggest the shield, as it will stop all sources of damage after they've been applied. This efficiently cancels mushrooms, Malz curses, Cass poison, you name it. Very frustrating for the other champion.

Really not terribly complex with Sion. Feel free to stun and shield burst to your heart's content, just make sure its safe to gtfo afterwards if they don't die. There is no reason to ever turn your E off, as the extra damage is significantly greater than the menial cost of your health. Make sure you last hit a lot, for both the gold and the max health boost. Mid to late game, your shield burst will start taking out entire creep waves. If you're heading to another lane for a gank or whatnot, feel free to pop a shield before you go, as its both hilarious to see the gold count go up, and to get a nice amount of health.
As far as late game goes, use your stun well. Do not initiate the fights, as it means your shield will almost certainly be destroyed before you can nuke their entire team. Let a tank do that job. Once the fight has started, pick a dps champion on their team, especially a caster. Stun them and get up close and burst your shield. With a significant amount of AP, they're now no more than dust in the wind. Stay in their and make sure you use your stun as soon as it comes up.
Thats about it, just have a good time, and don't let anyone tell you you're a tank.