Bulwark and anything made from Giant's belt are core on him.
Your job is to tank and peel for your carries with your ult and taunt. I usually pick Shen when my team has a bunch of damage already and I build him full tank. If I need damage on Shen I will build a Wit's end, although I never built it on him.
Also global ganks are op. And he ult works well with baits and allies with gap closers.
Edit: I get always at least one Giant's belt item on him and most of the time its Warmog.
I jungle Shen and I use 9/21/0.
When I'm drunk I like to feed the trolls. http://i.imgur.com/gTeOs.png