So basically this is the build i pretty much always go for as my favorite little lightning hamster :D and so he's the explanation.

The Magic Pen marks are pretty self explanatory, you want magic pen so they aren't resisting your spells, the seals of force i get for a boost in late game AP but you could also invest in some energy recovery runes if you so choose. The CD reduction glyphs are MOSTLY helpful for super early game harassment but in team fights later can lead to some pretty awesome 'shuriken-to-the-face-as-you-try-to-escape' kills :P. Then the 3 Quintessences are just MORE or each of those 3 things.

I go 9-0-21 masteries for what's IMO maximum awesomeness, i think it's clear why i put no points in any mana utilities, kennen being an energy champ and all, although you will have to drop 3 points into Perseverance for the hp regen part of it, and so you can get to the Presence of the Master.

So I start with an amplifying tome for the extra AP and so that I can get my Majai's STRAIGHT after getting the sorcerers shoes for magic pen. Next up is Rylai's which you can build in any order you want, i just find the blasting wand then giants belt for hp more efficient and ups your damage output and survivability faster to boot. Now Will of the ancients is an awesome item at the what now should be earlyish mid-game since if gives you some spell vamp, but we'll get into how thats useful more later. Next up after is rabadons for the insane ap boost that'll give you, THEN void staff. You can go void staff for magic pen first (I actually usually do that) then rdc but w.e you think is best for the situation (for instance, the enemies are building MR, void staff probubly better to start). Now by the time you have all that, you'll be a god, seriously :P, so now that the spell vamp wont be needed for lane survivability (were now in the late game by this point) Grab yourself a Warmogs and switch out the will of the ancients for it. since kennen farms minions really easy, you'll feed that thing in no time at all. Which leaves you with..

Sorcerers Shoes
Majai's (should have full stacks by now or damn close)
Rylai's CS
Rabadons DC
Void Staff
Warmogs If you just want shear power, then grab another RDC instead of Warmogs.

Always start with your Q (the shuriken) as it's your main harassment ability. lvl 2 get your electrical surge (W), as getting a mark of the storm on the enemy champs with Q then hitting W for more dmg that auto targets all enemies with a mark of the storm on them within range. Then get your E, lightning rush. Now you have your full harassment combo. Rush in using E and hit as many of their creeps as possible (without getting hurt by the enemy champs) and since lightning rush ignores unit collision you can get to the other side of their creep wave throw a Q at them and as you run for safety use W, if you feel you can you can even run stright into then with lightning rush. each of your abilitys (+ every 4th basic attack after getting your first rank in electrical surge) puts a mark of the storm on your enemy. So your E,Q,W combo (assuming you hit with all of them) will stun your target, co-ordinate this with your laneing partner to maximize dmg on a single target. another thing you can do is to wait for your 4th basic att powered up (since it adds a mark of the storm as well) and when you lightning rush in, hit both champs then hit w to get 2 MotS on both then use Q on one and your auto att on the other for a double stun, this can allow you to kill one champ while they and their partner are helpless, or allows you to just hurt them enough to make them more defencive allowing you to push your lane. The rest of the sequence is just to complement his basic harassment combos.

I get Ghost ignite since for the most part I actually mid with kennen, and i like to gank asap so the combo of a E and ghost makes you ridiculously fast :P It's also a good get away SS that i prefer over, Troll me all you want for that :P

This is SUPER easy with Kennen, E, W. ... that's it, later game you'll just massacre creeps waves like their nothing, but it's a good, weaken-all-creeps-hp technique early and mid game still.

In a team fight All you'll need is someone to initiate, then you just need to run in with E activate your ult when your next to the enemies, (your ult at end game is phyco btw :P) then W once you've got some champs hit with at least one mark. Your ult can hit up to 3 champs at once and it's completely random who it hits but it adds a MotS each hit. This AoE stun effect becomes ridiculously awsome if you have someone like Akali or master yi who can run in and clean up al the weaken enemies. You have lots of dmg to all champs, but once you've used your full combo, your now rendered useless with no finishing power, so sadly you'll have to usually let your team clean up all the weakened enemies.