I start out with....
Doran's shield (yes 3 dorans shield, Stacks +HP, armor & the hp regen works great early game)
Aegis of Legion
Then the next 3 items in your item slot are all situational.
Warmogs (if you are great at farming & doing exceptionally well,should get it before Banshees)
Frozen Mallet for slow effect, HP, & + attack dmg
Thornmail if other team is mostly AD
FoN if other team is high MR
Gardians Angel if other team is balanced
Last item (for late, late, game, It might require you to sell an item, up to you)
Hextech Gunblade for item spell/stun, spell vamp & + extra attack & AP
Nashors tooth to take down towers quickly and for better AP
Since the nerf, Shen just sucks early game. This works better than my old build forsure. Try it out a few games.