Pantheon is easy to buy for because he needs weapon power more than anything else. I like to start out with a Doran's Sword for early survivability/power and a health pot. When you head back to base, grab a Chalice to help Pantheon's mana problems. With this, as long as you don't constantly spam skills, you won't run dry nearly as often. Grab Boots of Speed as well, and upgrade to Berserker's if you can afford it. If not, the upgrade can wait.
The next item you want, whether or not you could afford the upgrade, is a Brutalizer. Generally this is the point in the game when you're going to need to start jumping people, and this'll help a lot. After you get it, upgrade your boots if you haven't already.
Here's where opinions tend to differ on what to buy. A Frozen Mallet is a great choice, but expensive and not essential. The slow is nice though, so consider it later on.
No, what we want are B.F. Swords. These bastards give you 50 freaking extra weapon damage a pop, and that's a huge difference for anyone, especially Pantheon. You can upgrade them if you want, but try to get at least two. If the game is still going at this point, sell your Doran's and get another. It's simple, and not very clever, but I'll be damned if it isn't effective.
Assuming you have my above listed build, little can stand against you for more than a few seconds. Towers, inhibitors, and even nexuses may as well be made of wet paper. Your stunned victims will be torn apart by your E, and if they limp away, gored by your Q. You may be squishy as hell, and very vulnerable to stuns and blinds, but this is why you work with your team. Generally I end my games with a KD ratio of about 1.5:1, but with almost twice as many assists as kills. You can feed your team kills all day long with this build, and get a fair amount yourself.