You build Hydra-related items on Rhaast, so that you can spam that crazy lifesteal and be unstoppable. You stack lethality on Assassin Kayn. Cleaver is good for that MS and arm pen, but don't focus too much on rushing it I would say.
Remember to AA too. Kayn's kit gives player a tendency to over-rely on Q and W, but it must be resisted and make use of AA more often than you naturally would. AA gives another source to proc the passive with for both forms, and AAs provide a great deal of Kayn/Rhaast's damage.
In the early stages of Kayn, you don't have to kill, you just need to damage people to stack the meter. So you want to try and be aggressive, and make use of E to go on many ganks, but you don't always need to score kills so long you're hitting enemy champs.
Kayn also has an extremely easy time traversing across the map with E, don't be afraid to use it, even just to walk around the map say for example to clear jungle. Its CD is not that long to be too conservative about it.
You also need 2 sets of keystone/mastery and runes for this guy, because his 2 transformations are played so differently. Rhaast is typically built like an AD carry or bruiser with Fevor (or Stormraider) and ticking all of the heal related perks in the keystone, and Kayn is built like a typical assassin with Thunderlord and all of the other damage perks.
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That's it from my brief time of playing Kayn. Initially I thought he's among the worst champs too, but then I figured out a couple things and he cool.
