Jax typically gets Trinity Force and Blade of the Ruined King before building tanky items.
Zed typically gets Blade of the Ruined King, Youmuu's Ghostblade, and Last Whisper (at minimum) for damage items before investing much in defensive stats.
Fiora typically gets Ravenous Hydra, Black Cleaver or Youmuu's Ghostblade, and Last Whisper.
Pantheon really varies, but he typically has at least Warrior and Hexdrinker or Brutalizer before getting tanky.
Diana has pretty low base damage and utility, but pretty good ratios so she needs some early ability power if she wants to play as an assassin. I can't really comment on tanky Diana builds, since I never really see it.
If you are having issues with them, Fiora and Zed are very vulnerable if you can hit them with CC (since they are very squishy), Jax is primarily single-target damage and can be kited, and Pantheon falls off pretty hard later in the game because he has low AoE damage or CC.
Jax is more difficult, since he's intended to scale into the late-game but he can be kited in teamfights, harassed down from range (in siege situations), has little waveclear (hard for him to defend towers without being able to engage), needs to stay in a fight to do the most damage (if you kite him, his passive falls which reduces his damage).