Kennen, one of my favorite characters, great damage, hard to catch, can hop in and out of fights, and very fun to play.

Pros

-Good damage
-Hard to catch
-Fun to play
-In and out during team fights
-Can initiate fights(depends if you have a tank or not, *always let your tank initiate)
-Great harass
-Easy to farm
-Can kite like a boss

Cons
-Squishy at start
-Easily focused in team fights
-Takes farm to be effective (Like anyone)
-Somewhat dependent on skill shots (Q)

Marks - Magic Pen., who doesn't get this for a AP caster?

Seals - AP, early game damage = more damage when harassing. Easier to last hit with Q.

Glyphs - CDR, Kennen uses energy means more spamming early game/harass or last hitting.

Quints - More early game damage, you can go all AP quints if you'd like I prefer 1 Magic Pen and 2 AP Quints though.

Basic AP Caster mastery, nothing special.

Doran's Shield - Kennen is so squishy at the start of the game, plus this lets him stay in lane longer.

Sorc Boots - AP casters get this, can change for merc treads.

Will of Ancients - Spell vamp, you can spam your skills, 100 HP? Keep hitting minions with your Q that's up every 2 seconds or so.

Rylais - You already stun, now you can slow, plus you get a extra 500 HP. Helps you be offensive and defensive. Ex: Your ally is running and you're near, hit the enemy and slow them so your ally has more time to flee.

Lichbane - If you've ever used Kennen, after you hit someone with your Q you auto attack right after, it's perfect because it's passive. Plus it gives magic resist and movement speed. It also helps you hit high on towers, throw a shuriken and then hit the tower 10% of it gone or more(late game).

Rabadon's Deathcap - All AP casters main item.

Zhonya's Hourglass - AP and armor, perfect active for when you use your ult.

I get Q first because it deals more damage and it's easier to hit/harass your enemies.
I focus on my W next because it's the next main source of damage without getting hurt(early game).
Get your ult whenever it's available.
E, I use it to run, chase, or rush into the enemies so I can use my ult.

Harass with Q,
Rush in using E->R->W While doing this spam shurikens(Q).

Do Grab:
Flash - Can be used to offensively or defensively.
Ignite - Ensure kills, mess up healers late game.

Other options:
Cleanse - Makes you even hard to catch

Do not grab:
Any other spells - No need to :D IMO
Ghost - your E is like a ghost you can use every something something seconds.

Overall, I hope you understand my build, why I chose things etc.
I'm open for any criticism anyone may have, just please be reasonable. :D
Any questions, please ask, or add me and ask me, don't be shy :p