Every time you come back to lane from base, you should be stronger than you were before. There are a couple ways that you can be stronger:
BETTER RELEVANT STATS. This comes from buying tank/offense/utility items. Note the key word "relevant." Leona's not going to benefit from mana regen that much, so why did you buy a faerie charm? Sona could do a lot better with mana regen than with AP, so why did you buy a Kages? Actually think about the items that you're buying and whether you need that particular stat in order to do better in the lane.
SUSTAIN. This comes from potions (and can come from regen items, but that sustain is much smaller than what you'll get from potions). Early on, having significantly superior sustain on a support is amazing (provided they can't 1shot you) because it means that you can make unfavorable trades over and over until you've exhausted the enemy's sustain, and then further advances will turn into zoning instead of unfavorable exchanges.
SIGHT AND VISION. Wards. They let you position aggressively in lane without worrying about an unexpected jungler gank. They let you stop the enemy support from dominating the lane by camping a bush. Vision lets you prohibit the enemy from doing the same. One properly-timed vision ward can win you the entire lane, and lacking a single ward can lose you the game.
AURAS. The only ones you're really going to be getting in lane are mana manipulator and emblem of valor. Both of these can be very good to have if you and your carry are staying in lane for a long time. If not, then it's probably not worth it.
GOLD GENERATION. This is Philostone, Kages, and Sightstone. Averice blade is a complete waste on a support. As for the others, get them if you honestly don't think you need better stats and plan on upgrading them AND have the item slots to buy them. Don't get a philo if you're not going to get a Shurelyas; don't get a Kages if you're not going to get either a Twin Shadows or a Shard (or perhaps a Morellonomicon). Sightstone is not a laning item if you're playing aggressively. It's too expensive with too few stats to be a laning item.
Deciding what to do with your gold can be difficult. Should you sacrifice a ward in order to get a red crystal? Should you buy a cloth armor now because you can't afford a null-magic even though you really want to rush a chalice? Do you really need a pink ward right now, or can you save that money for later? How many potions should you buy?
To answer questions like these, you should consider what's going to happen when you get back to lane. A really good way to get better at this is to watch streams. Watch early laning and take note of what items the player bought and then see what the result was. He bought a particular set of items and then died, and a different set of items could have resulted in him not dying? Maybe don't copy that build. Another thing that you can and definitely should do is to look at your opponent's items. You should do this anyway so that you have a better heuristic of how well you can trade with them, but look at your opponents' builds retrospectively too. What made them able to kill you more effectively, or what allowed you to kill them?
Here are some specific pieces of advice about early builds, but you should NOT consider this a set build order to follow every game. Instead think of it as a "template" build that you will modify as needed.
Never go to lane without at least one ward. If you can't afford a ward, ask your carry to buy one. If your carry can't afford one, then discuss with him what item you could buy if he gets the ward anyway as opposed to what item he would be putting off, and decide which of you should make the sacrifice. Getting a chalice on Nami is so huge that maybe your carry is willing to forgo his longsword so that you can get chalice. You can also ask your jungler to give you a tribush or dragon ward.
Try to avoid going to lane without at least one HP pot, although depending on your lane it may be more important to buy other items. If you're playing a support with a heal, it's less important to have HP potions; and if you're playing against a lane that's more about burst than about poke, it's also less important to have HP potions.
Vision wards are great when you have a specific reason to want to deny vision, or if you expect the enemy support to have vision wards. If you know your jungler and midlane are never going to come bot because top is losing and needs to be camped, don't bother buying pink wards for tribush, unless you need to counter-pink the enemy's ward. If you are unable to hold bush control from the enemy support, don't bother buying a pink to clear out their ward. If the enemy support is buying lots of pink wards, you're probably going to have to do the same.
For opening builds, I like to go (Faerie or Rejuvenation) + 2 HP pots + 2 green wards + (vision ward or another green ward and a mana pot). I go faerie on champions that need the mana regen and rejuvenation on champions that don't. I will probably build the faerie into an early chalice, and I will build the rejuvenation into Emblem or Locket. Fortunately, the supports that tend to not need faerie early tend to also want to build an aegis, so I will in fact go for the emblem.
After that, the question is, how do I add the most to my utility? On Sona, I definitely need a red crystal ASAP. On Nami or Lulu, an earlier Chalice is more important, although Lulu can do well in lane with very few extra stats, so getting auras for her ADC or even a philostone can work for her. Melee kill supports that are capable of early tower dives should get an early cloth armor and red crystal, with an aegis finished before the end of laning. "Passive" supports like Janna, Soraka, and Nunu can go for GP10 if they aren't being threatened by the enemy; otherwise build for late game items that you will want. Just remember: every time you go for a GP10 or something else that's not going to help you win NOW, if you give up a kill as a result of that, your GP10 now needs to make an additional 300 gold before it was worth it for you to have bought it. Know when extra stats are actually likely to make the difference between a kill and no kill or between a death and no death, and buy them when they are.
So now that you've gotten through the lane phase, what items should you buy?
Sightstone/ruby sightstone is absolutely wonderful if you have the item slot for it---if someone else is buying the pink wards, so you can have your sightstone and a slot for green wards, go for it. Or if you have someone else with sightstone so that you can have six sightstone wards at a time, and someone else will buy one or two green wards so that you can ward important places without having those wards be "overwritten" then go for a sightstone. If you're the only one warding, then you have two options---don't get a sightstone, or get a sightstone and lots of pink wards. Why? Because three item slots for wards is too many, and three wards isn't enough. As you're leaving the enemy's base after taking an inhib, you want to drop a ward---and you cannot really reward this spot for a long time because it's not safe to do so, but then you need to fight around baron, which is going to take at least three simultaneous wards. So that inhib ward really, really needs to be a permanent ward.
Shurelyas was arguably the best support item in season 2, and it's still an extremely good option. You want to get it if your engage is not quite strong enough to get past their disengage and your team is ahead enough that you can win a fight if you get your engage off or if your disengage is not quite strong enough to avoid their engage and your team is behind enough that you can't win a fight if they get their engage off. If neither of those two situations is the case, then you should get a different item so that you make your team stronger in the actual fight. Shurelyas allows you to pick your battles, but it doesn't help you win the battle after it's started, so if picking your battle isn't very meaningful then improve your ability to win the battle instead. Shurelyas can also be very good if your team is doing silly things that aren't safe and you absolutely cannot get them to start playing smart, since it's very good at rescuing teammates without blowing combat cooldowns.
Aegis is pretty much necessary to have on your team, especially now that it upgrades to Bulwark. However, it's likely that your jungler or toplane will want one, so check with them at the beginning of the game to make sure that you're on the same page about who's getting one.
Twin Shadows is a wonderful choice to help you snowball a lead, especially if you have control over the enemy's jungle. This item also allows you to get away with having fewer wards (in the event that you're ahead). Don't get it if you're losing, since it won't really be able to help you disengage or survive.
Shard of True Ice is good if you have a good diver like Olaf or Nocturne. If you're a support that scales well with AP and you have a carry that makes good use of mana manipulator, and on top of that you have a good diver, then absolutely get a Shard. Shard is less good against teams with a hard initiate with a lot of AoE CC. Get it when the slow will actually help you win a teamfight---similar to Twin Shadows, it's good to help you snowball a lead, not great if you're behind. If you do get one, put it on your diver or on a peeler (could be yourself), with putting it on your ADC being a last resort that means that the fight already went poorly, since you don't want anyone to stay close enough to your ADC for the slow aura to affect them for any noticeable amount of time in the first place.
Mikael's Crucible is absolutely amazing. The chances of the enemy team not having some CC that you want to cleanse your ADC out of are very small, and even if they don't, the heal can be huge if you time it well. If you don't need the cleanse aspect of it, only get it if you were going to get a chalice anyway, and even then get it as a third item at the earliest. If the enemy has something like a Galio or Amumu ult, get a Crucible and Merc Treads so that you can give your ADC the benefit of tenacity that he didn't need to build himself, even if you both get ulted.
Locket of the Iron Solari is pretty much never a bad item, and out of all of the support items, it's probably the one which is least good on non-supports, so you should definitely get one. A kindlegem is often a very good laning item, so if you don't need the early Shurelyas you can go for Locket as your first completed item. The cooldown is short enough that you should use it at the beginning of pretty much every damage exchange between the two teams.
Zeke's Herald is a good item if you have at least three autoattackers, but it's more likely to be built by a toplaner or jungler that wants a vamp scepter but not necessarily a Bloodthirster or Wriggles. That said, Zekes + Cooldown Boots + Locket or Shurelyas is 40% CDR, so if your toplane is getting Aegis and your jungler is getting Shurelyas then you can go for Zekes, Locket, and CD boots and get an efficient 40% CDR.
Will of the Ancients/Frozen Heart/Randuins are items that can be extremely useful to your team but are probably better suited to a non-support champion, although tank supports can absolutely build FH/Randuins. Only get WotA if you have two AP champions and neither of them is able to build it.
Banner of Command is good if you are doing a fast-push teamcomp, otherwise not really that useful.
Non-support items are totally viable, also. Just because you're a support doesn't mean you can't rush a haunting guise if your lane is doing well. You have three kills at five minutes in? Go for a deathcap on Janna or a triforce on Leona. Continue the snowball as much as you can. Let your jungle Nunu go for more support-y items while you and your ADC get ridiculously fed off their botlane.
The overall theme here is being as useful as possible without that much gold going into your build. Build the items that you need in order to win.
Next time I'll talk about laning---positioning, warding, and skill usage.