This is a strange build indeed. I haven't spent enough time messing with him in PBE to really find my own personal niche with him. I'm personally not a HUGE fan though. I thought I was going to be, being that I am an avid Blitz player.I tried 2 ways up till now. The 21/9 offensive build, or the 9/21 defenseive build depending what role I would fulfill. Currently I have AD marks, AD yellows, MR/lvl blue and MS quints. I feel I don't need the armor yellows that hard since most top champs have a relative hard time getting to you because of your E. That and the AD yellows make his ridiculous Q passive do even more damage.
Want more safety? Get AD quints and armor yellows, works fine too.
With both builds I generally want to start with a Long Sword and 2 pots. Seriously, the damage is huge and you really don't spam spells a lot so you shouldn't have mana problems. If I'm to scared I'll get raped, perhaps agaisnt a Good Renekton for example, you could go armor and 5 pots. Or armor, ward and a few pots. Do try to invade, the damage you do with a red passive Q and the double grab is immense. In my opinion, it's far better then Blitz to invade, only downside is that it doesn't pull through most walls of course.
As for items. I feel I've had the most succes with an offensive build. There are good damage items that provide quite good MR, Mercurial or Maw come to mind depending on situation. And you farm like a breeze (and should be farming constantly if you can) so sould provide you with quite some armor too. You feel you need a bit more? Just buy some.
So generally I start with Long Sword + pots, depending how hard the lane is, this can get upgraded to Vamp Scepter with boots, or instantly Berserkers boots if you don't need the Lifesteal. From there it's generally Zephyr (the AS is awesome, the CDR is awesome, the MS is awesome and it has great Tenacity). If they're really low on CC you could switch it with soemthing else. Runaans Hurricane comes to mind, gives no AD, BUT the passive makes you a ridiculous farming monster since the on hit effects also apply to your Q passive. SO you'll do the 10+50% AD to 2 other targets + your passive to 2 extra targets. Combined it's quite a lot and it gives you tons of Attack Speed. I generally always want 1 item with a good amount of AS.
Then I generally get BT. BT is always good, lots of Lifesteal and loads of AD (getting high AD with Runaans and your Q passive is always good). Then it all depends, you have nice tanks/cc/initiation in your team? Get a Black Cleaver or something. You're team lacks some CC or tankyness? Frozen Mallet. You just want a lot of extra health (since you're farily tanky for the damage you do)? Warmogs. It all depends on your team and their team at that point.
The other way was the more bruiser-ish way. Early Brutilizer, Warmogs, Frozen Mallet, Atmas, Maw, Merc Shoes, things like that. This makes you do less damage of course, but on the other hand you're a lot more tanky, and that can be very useful for protecting your carries for example since you got CC coming out of every manhole you got. If someone can get away with you after your Q, Frozen Mallet, E and Ulti, then something is wrong (and then you still have the lantern).
As for skill priority. Start with Q at 1, E at 2 (helps massive against level 2 ganks and can even net you some double kills with towers) then it's just R > Q > W > E
For some reason I prefer W over E, it's more useful in teamfights and I generally use E to knock people away or back in again, not really for the slow or damage.
I don't like that his chain doesn't work through walls. Also people don't use the shield and the free port enough (that will come with time as people become more familiar with him)