Take armor pen reds and quints, flat armor yellows and per level MR blues.
Take 21/9/0 masteries - be sure to take Havoc(3) and Executioner - its important
Build a Brutalizer first, a Bloodthirster second, a Last Whisper third
Don't harrass with just your Q, you will run out of energy too fast.
Harrass with a shadow AND a Q, you will get an energy return.
Personally, I max R>Q>W>E. Most other people take more E but I'd rather have the W passive.
If you ult on somebody, remember that you have 3 seconds to deal as much damage before the Mark explodes and deals another +50% damage to him. So, start R then E then Q then autoattack. The amount of damage this deals should be climbing all game long.
Don't be afraid to steal blue or ask for it from your mid, it really helps.