I almost always complete Sheen first (I can't think of a time when I haven't...)
After Sheen, I like getting the basic boot (eventually upgrade to Mercury's).
Things get a little tricky between completing Sheen and eventually getting Mercury's...
*If I think the team needs a little more brute force, I get Phage and eventually complete Triforce.
*If the team seems to do good damage already, I like getting Soul Shroud. -cooldown and +mana regen aura helps out a lot during team fights.
*If the game goes very long...eh...I don't know. Depends on what the other team has specialized in. Honestly, after getting Sheen, you really need to be flexible with how you gear up Blitz.
*I really don't like having to build him as a tank or dps/carry. He's ok in those roles, but I feel that Blitz is primarily a support character.