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Not Updated For Current Season
The masteries shown here are not yet updated for the current season, the guide author needs to set up the new masteries. As such, they will be different than the masteries you see in-game.
This is the approximate build I use when playing Shen. It's a bit unorthodox, but it does one thing VERY well - you will NEVER need to be out of any fight or away from your lane. It has the advantage of always being a well-fed tank that can appear anywhere a fight is happening, whenever it is happening.
First, I will explain my choice in Summoner Skills. Teleport may seem redundant on a character whose Ultimate is itself a teleport. That is precisely the beauty of this build, though: with one teleport on a 3-minute cooldown and the other on 5 minutes, one of them will always be off cooldown, which is exactly how you want it. Favor your Ult in the early game when team fights are less common, since it has the shorter cooldown. Toward the end of the game, use Teleport more to keep the Ult's shield effect available. By doing this, you will rarely, if ever, find yourself in need of a teleport without one available. if you don't think that's a scary prospect, consider the other Skill, Revive. Shen is naturally hard to kill: utilize this and stay alive as long as possible. Revive is undervalued by many players who think it is only useful if you intend to die a lot. It is actually best used when you intend to die relatively rarely, say, less than once every 10 minutes. Since Revive's cool-down is less than that, you need never let an untimely death interfere with your last hits, or let your teammates down because you were focused on first. Combined with a teleport, and the bonus speed/health granted by revive, dying can actually be a buff instead of a disable. Especially at low levels, characters tend to think that killing Shen buys a good 20-30 seconds of free farming before returning to heal at their base - in that time, Shen can die, revive, teleport, and appear back in lane in less than 10 seconds (less than 5 if you can use your Ult to return to battle). This tactic is also effective if you want to die and switch lanes immediately, turning a 2v1 across the map into a gank by a (supposedly dead) Shen. Lastly, consider saving the Revive if there is no action going on - having it available when it is needed is what makes it useful.
Next, The Masteries. These are fairly standard for a tank. The double teleport makes Summoner Skill cool-down reduction unneccesary, and dealing massive damage is not Shen's role, so just build as tanky as possible here.
Runes are straight health. To be honest, I don't have much in the way of runes, but for Shen, more health at low levels makes him that much better at tanking damage.
As far as skills, max out Vorpal Blade first. It will let you last hit like a beast (use it in place of auto-attacking and only attack creeps directly when your passive is active or to follow up on a failed last hit with Vorpal Blade.) Take a level of shadow dash first though. It is a great escape mechanism as well as a way to initiate, and even at level one its taunt can change the course of a 2v2 or 1v1. You want a level of Feint before level 6 so you can avoid creep hate while rushing past enemy creeps, or to reduce the damage of a potentially fatal ranged attack while escaping. Don't bother leveling it much more before late game, though, because you can tank just fine without it and the other skills are just more useful. Always take your Ult when available; what good is double teleport without the double teleport?
Lastly, items. You don't have to start with boots but I think Shen benefits from being faster than everyone else and it leaves enough to buy two potions (which will keep you in lane and at high health until you are ready to leave for items). Alternatively, getting a Doran's Shield at that point in the build and getting the boots alongside the Phage will make you slower in the early game, but somewhat more survivable. It depends more on the style of the player and the composition of the enemy team (against a lot of slow guys, boots are less needed, for example). The Phage is the first item to build, and you shouldn't need to return to base until you can afford it (and boots, depending). It will give you more health and a slow chance. Shen is fast and slippery, but also a tank, which means the ability to slow his enemies lets him keep them in the fight longer while leaving his own egress from the battle unimpeded. Next, get Boots of Mobility (or substitute for Mercury's Treads is against a magic/crowd-control-heavy team). Shen's base speed is high, but with those boots he becomes ludicrous. The whole idea is to always be right up next to the enemy, and with teleporting AND fast boots, you always will be, whether the enemies want you to or not. Toward the middle of the game, build toward either a Thornmail or a Force of Nature, depending on the physical to magic damage ratio of the enemy team. Once you have both, build Sunfire Capes to fill your empty slots (which should be the endgame since i rarely make it past the first one). At this point, you are:
- always in lane / at the battle
- hard to kill for mages and VERY hard to kill for physical carries
- dealing passive damage-per-second to people around him
- dealing MORE damage to people who hit him directly
- taunting people to make them hit him directly
it's all good.