@Iklo: Tanky Bear is Best Bear! I usually go for an early offensive setup to get ahead in kills if I feel like I can pull it off against my opponent, then use the gold to build full on tank gear. Because you need the blood money to shine, and your damage potential later scales way too poorly so you need to be as beefy as possible when that curve starts going down. And the early damage let's you soundly shut down your foes.
As far as early game items go, Phage is great and should always be bought early, how soon depends on the match up. Wriggle's against AD, Wit's End against AP. You want to start Cloth + 5 now. Boots if you are against magic damage.
@Nickwright: You're right about Q, but the problem is he doesn't scale with AD on his other skills, meaning each time you use those skills you're not using your AD that you paid for. Furthermore, a LOT of his damage is magic. So building penetration on him is very awkward since he doesn't make full use of it across his kit. Nor is he in the boat that Jax is in, where you do so much damage you just don't care about penetration.
That said, it works. It's just that Volibear is... I don't want to say poorly designed (part of him is, but far from his entirety, speaking as a designer myself), but rather that he has been left out of the loop. He hasn't been watched for performance on Live in the meta. There's been no action in regards to how players react to his kit and how they choose to play him either.
It's just a sorry mess, which is why this thread exists!