I played Kennen early dominion as hybrid, before the gunblade nerf & before the new masteries.
Typically any of: Rageblade, Gunblade, Rylais, Mercs, Sheen
Reasonable at windmill, teamfight & team push off tower.
Piss for creepwave clear/bottom laning, against more aggressive pushers. High risk to do a bigger creep wave clear - not so great for defending that sort of assault on a point.
At this point, with the popularity of quickdash champs such as riven, ahri, ezreal, etc. Lightning Rush doesn't work out so well to actually nail them with it in a chase.
Ultimately, I found Ezreal brought more to the table, if I was in the mood to play such a skillshot champ. Kennen just shines better in SR laning and teamfights.