here is my quick shen guide. I have been playing a few games with him, and have done quite well so far.
Shen is the first energy champion. He has 200 energy that refills quickly, but his moves all cost at least 50, so you will be short on energy if you spam your moves quickly.
passive: Ki Strike - Every 8 seconds, Shen's next attack deals bonus damage.
Q: Vorpal Blade - Damages target unit and life taps him, healing allies that attack the target. W: Feint - Shen blocks damage from the next champion attack or spell. E: Shadow Dash - Shen dashes rapidly toward a target location, taunting enemy champions he encounters.
R: Stand United - Shen shields himself and a target ally from incoming damage, and soon after teleports to their location.
Shens passive means that he stacks very well with health items. as this will greatly increase his damage. At 4k health, every 8 seconds you are doing +160 damage.
the build for abilities is as follows:
blade is maxed early so you are able to do more damage in ganks, as this is your main damage move early game till you get enough health for your passive to really matter. It is also useful for last hits, so it is your main money maker. With only around 5 second cooldown, it is very useful, but it drains energy fast. The taunt is useful for any early ganks, and is great if you can catch enemies in tower range, as anyone who is familiar with rammus knows.
The taunt has a range, and you dash toward it, so it is very useful as both an offensive and a defensive move for escapes. at max rank it is a 2 second taunt, so for chasing enemies it can be the move that makes it so they wont get away.
In team fights it is useful for you to use vorpal blade on the team target as it is useful for both the damage, and everyone who attacks that target will be healed by 75. So a fast attacker such a twitch, teemo, or yi will benefit greatly from this on top of their lifesteal.
your ulti has a 2.5 second channel, and shield your target (champion only) for a lot of damage, it shields you for half. So it can be used as an escape if done right. It can also be useful to use it in a team fight because the shield will help keep the team mate your enemies are trying to kill. This can also be used to turn the tables, if you are in base, and your allies are in a 2v3 you can port in and even the odds. If one of your allies is about to die, an ulti+ taunt + feint can really turn the tables and help out a lot in a team fight.
feint, your w block at max rank 300 damage, with a rather short cooldown, so it can be really useful to combined with taunt.
I start with regrowth pendant for the extra survivability early game and this will turn into warmogs, which is the first item I go for. Although if speed is an issue, getting boots of speed sometime before its complete could be beneficial.
Depending on team comp go either ninja tabi or mercury treads. If it is high carry ninja, high nuker/cc team go mercury
After Warmogs and boots next I go leviathan. Some might want to grab this earlier, this depends on how your early game is going. But leviathan is a big health boost mid-late game.
After leviathan the build will branch. If you are finiding people are getting away to easy, phage could be really helpful. But if depending on team comp I would recommend either thornmail or Banshees veil.
The game should be over at this point, but if not I would recomend either another warmogs, Force of nature, atmas impaler, or frozen mallet.
For summoner spells I would put flash in there, but teleport, ghost, heal, and rally could all be useful for the second.
Runes I would go straight health. Or get health, armor, magic resist and mix them.