I start Vayne with boots + 3 red pots. If I'm stomping lane, I rush Bloodthirster; if not, I get double Doran's blade and a Vampiric Scepter, which I proceed to build Bloodthirster. Then I get Phantom Dancer, and build Berserker's Greaves along the way. Then I weigh my options: if I'm getting dived easily, I build Warmog's Armor; if they're stacking armor, get Last Whisper; if I'm doing well enough, I get either Infinity Edge or Statikk Shiv, weighing Dps vs mobility. If I get the chance, I get Alacrity on my boots. And always, when you have the chance, get red buff. It's almost broken on her.
I take the usual ADC runes of AD reds, Armor yellows, scaling MRes blues, and AD quints. Also at 21-0-9 masteries.
Skill order is:
1- Q 2 - W 3 - Q 4 - E
then I proceed to Q>E>W, maxing W last. Of course, I get R whenever I can.