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Shen - Picking a Laning Partner
When playing Shen, you will undoubtedly want to go with an ally in a side lane - Shen is capable of soloing mid or jungling, but his laning dominance is too important to ignore. Picking your laning partner is fairly easy, since Shen's bag of tricks includes abilities that are useful for all champions. A powerful but fragile DPSer is a great choice for a lane partner - Shen can use Vorpal Blade to provide them with healing and use Shadow Dash to strip aggressors away.
This works especially well with ranged carries like Ashe and Twitch - they can heal by autoattacking creeps with Vorpal Blade on them from the back of a creep wave or under the safety of your tower. Picking an ally with a disable is a great idea as well (Veigar and Ryze are excellent choices), since either of you can set up a combo with Shadow Dash - potentially sending your enemy home or getting an early kill.
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Shen - Strategies for the Laning Phase
Shen is a strong tank even early game, so feel free to be aggressive. Use Vorpal Blade to harass and last hit creeps since it is on such a low cooldown, and if your opponents overextend, use Shadow Dash to close the distance and initiate. If you are lucky enough to isolate a caster or someone without a reliable escape, you will have a large advantage. Shen is not indestructible, but he is much tougher than most DPS champions - and coming under attack refreshes his Ki Strike, giving him a large damage boost. Shen has a reliable closer, so use it. Even if you take damage, you can use Vorpal Blade to heal it back if you're careful and smart. Communicate and coordinate with your lane partner to focus down weak enemies.
Though good at pushing because of lane dominance, Shen is not a good farmer like Sivir or Mordekaiser, so you will need to pay close attention to last hitting with Ki Strike and Vorpal Blade if you want to have the funds to buy an item by the time you reach six. This is one of the reasons leveling up Vorpal Blade first can make sense, even though the nuke and heal are fairly minor - the extra damage and heal make a noticeable difference over time and the cooldown is short.
If your opponents are aggressive, you are actually still in a strong position. Use Feint to absorb nukes and attacks and Shadow Dash away if you think they are going to try to focus you down. Like Rammus, Shen can defend towers extremely well with his taunt. Let your opponents push to the tower and then Shadow Dash into them - the tower will retarget them, giving you the advantage once again.
When you reach level six, you should return to the fountain and prepare for the next stage, hopefully with your lane secure and your opponents denied experience and funds. If you've done very well, you may even be in position for taking down towers (remember that Ki Strike's bonus damage works on them).
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Shen - Mid Game Strategy
Shen is an excellent champion for many reasons, but largely because when he reaches level six, his entire team gets stronger. Your ultimate is a powerful pushing, defense and ganking tool. As soon as you hit level six, recall, buy your items, and look at the map. Ideally, you want to find an ally who is pushing a tower or under attack. If an ally is pushing a tower unopposed, feel free to use your ultimate to warp to them and take the tower down. If your ally is under attack, wait until your enemies are committed, then use your ultimate to reverse the gank - at level six, the bonus health is significant, especially if the fight is already close. You can Shadow Dash directly out of your ultimate, so if you can catch an enemy, do so, since you have the benefit of a shield. This can completely change the fate of a lane - if you are successful in killing the enemies or forcing them back, continue to push the lane.
As the mid-game wears on, you should continue to push towers, pick up neutral buffs, and hunt for exposed enemies, especially when your ultimate is up. Entering the fight with your ultimate can be better than being there for the beginning, especially if your team has a second tank, because of Shen's powerful shield. In fights, use Shadow Dash and Feint to close with the opposing team's carries - if you can force them to attack you, Ki Strike will make you more threatening. Shen is an excellent initiator and is strong mid-game if he's been doing well - be aggressive.
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Shen - Late Game Strategy
Shen is an extremely useful champion to have late game. His ultimate remains powerful, but for different reasons. In the end-game the shield provided by your ultimate will not hold long in a team fight, but the teleport becomes even more useful. If your team is winning, there is no need to change your strategy - push with your allies and attack towers directly. Don't hesitate to tower dive an opponent if it's worth it to get the kill. By the end game, Shen should be more than capable of taking tower hits. If your team is ready to follow your lead and take advantage of your initiation with Shadow Dash, you should be able to push to the Nexus fairly easily.
What often happens late game, however, is a sort of stalemate, where teams deal too much damage for an all-in push by a tower, leading to long, tense standoffs and drawn-out defenses. This is where Shen, like Pantheon and Twisted Fate, can really shine. If your team is in this position and is not making headway, find a lane with creep momentum and rush the tower with your creeps, which will force the enemy team to send someone to deal with you or lose a tower. Don't be afraid to stay nearby if the champion does not have a reliable slow or disable - the longer you stay, the more likely more champions are to come to you for a chance at a gank. If you can avoid getting surrounded (map awareness is key here) you can use Stand United to escape, hopefully joining your team across the map where they are pushing a tower unopposed. This is perhaps Shen's most useful ability late game.
A champion guide to Shen the Eye of Twilight in League of Legends.