The only real success I've had with him is tank support with a couple basic rules:
1. You need chalice, mana pool, armor/resists, and aura support.
2. No AP. Don't even bother with it.
The armor/resists maximizes your survivability with you're ult's healing more than going pure AP. Frozen heart is usually a great item because you get mana, armor, and a support aura all in one. The only reason to ever get AP is as part of an abyssal scepter for more resists and debuff aura.
I really don't get why everyone is so crazy about getting Rylai's for him. One of your spells already slows, and another flat out roots an area of effect. If you can't get the job done with that, then adding another slow onto your ult probably isn't going to make that much a difference. It's just a big huge waste getting Rylai's for a caster who already has a ranged slow, let alone a slow and a root.
The damage bonus from his E is really making everyone build him all wrong. He is NOT a nuker. There are over half a dozen casters who do that job much, much better. Deathfire is not going to "pwn" with that bonus more than a pure AP caster would.
Honestly, Swain plays more like a CC version of Mordekaiser with a mana bar than any burst mage.