Sion is an adept lane bully, mid-late game AP carry that has massive CC with a stun on < 4 second cool-down, and a shield that doubles as a massive AOE damage dealer. He can last hit minions and farm up permanent max HP, by late game this can get as high as 500 bonus. and his ultimate is massive AS and life-steal bonus which combine with Lich's Bane shield/stun/detonate combo, is a guaranteed kill.

*IMPORTANT NOTICE* the brand new Chalice upgrade added in Darius Patch is NOT on Mobafire as an available item yet, so please insert that purchase in between lucidity boots and your blasting wand.

I choose to pick up flat AP, mana regen, magic pen marks, and flat AP quints.
This adds noticible damage output early game and fixes Sion's limiting mana pool until you can pick up the chalice.

I take the standard offensive AP caster build in the attack tree, and grab some mana boost and movement speed to keep Sion hunting down those runners, buff mastery is great if you can pick up blue or the slow from red.

this item sequence will give you some early HP, mana regen, and AP to keep you in lane until you can afford boots and you chalice (around 1300 gold by your first B)
I grab chalice and its new upgrade because it give Sion everything he needs to dominate.
CDR, AP, MASSIVE mana regen, AND some MR on the side.
Rylai's crystal scepeter is the next must have in this build, it has a good health boost, solid AP, and most importantly, a slow that keeps enemies right where u want them
sheen > lich bane will give you a huge hitting auto attack every time it procs from your abilities, taking advantage of you stuns and slows

I take stun at level 1 to try and get an early first blood and give some utility in the lane. Since this is an AP Sion build, his E is not much use and you dont grab that until level 4. Take sheild at 3 and 4, and max it first to boost farming and lane sustain ability.

This was an easy choice, take ghost and exhaust to shut down anyone trying to escape, or nerf that AD carry trying to break your shield, long enough to pull off another stun.
The only alternative i can see would be flash, for extra mobility, escape, and the surprise factor. Ex: Flash over the wall after you activate shield and blow up on them, stun, shield, detonate, stun, rinse and repeat as necessary.

Pros:
-Great lane sustain with shield and ultimate/heal
-Great pusher with ultimate, quick farm, and stun to keep enemy off you
-Can shut down enemy carries in team fights
-Heal the whole team in team fights
-Farm extra max HP, about 500-600 by late game
Con:
-Melee champion
-Mana issues (solved by runes and chalice)
-Shut down by silences
-Only good escape mechanism is stun

Open up on minion wave by detonating shield in the middle, then last hit minions to farm max hp, thats all there is too it, and if enemy champions try to zone you out of lane, shield, run up, stun and detonate on them.