Beginning - ring of regeneration, then buy another one at side shop, or start off with boots and a salve...basically the important thing is this: lane on top or bottom and last hit well so you can make a hood of defiance, which is ABSOLUTELY CRITICAL (you MUST last hit well because if you don't have a hood of defiance by the time you're level 6, your ultimate hurts you just as much as it hurts the enemy...but its a lot less with hood of defiance)
Another option is to start with bottle, i would actually recommend this above all other choices unless you really prefer boots of speed because bottle gives great regeneration (especially mana) and you can go on and refill it with runes
Midgame - hood of defiance, phase boots OR boots of travel, two bracers, bottle, ultimate staf
Not very complicated at this stage, the only major improvement is boots. Phase boots and Boots of Travel work equally well because phase only gives you the movespeed of boots of travel for a very short amount of time and the ability to move through creeps, while boots of travel gives an permanent high movement speed increase. If you haven't gotten a bottle yet, do so now because it's invaluable in roaming. Two bracers are good for a maximum HP increase. Ultimate staff is now mandatory on Pudge because of how its effects work with flesh heap - the more strength you have, the more damage you will DEAL to the enemy with your ultimate AND the more damage you will subsequently SUCK OUT of the enemy. Very handy.
Lategame - phase boots OR boots of travel, khadgar's pipe of insight, ultimate staff, heart of tarrasque, assault cuirass, and an item of your choice/situational item
Pipe of insight is merely the upgraded form of hood of defiance...it's useful in that you don't take damage from rot when you activate the barrier (although you've pretty much got that already with hood of defiance and flesh heap). Heart of Tarrasque is favored over the two bracers now as it gives an extraordinary amount of strength, max HP, and recovery. Assault Cuirass is more of a support and self boost item, giving yourself massive armor and attack speed, not to mention a reduction of 5 armor for nearby enemies. The item of your choice should generally be a situational item. For example, if there are a lot of spellcasters/disables on the other team, you should consider black king bar or linken's sphere seriously. If the other team has a lot of evasion (lets say faceless void, phantom assassin, and another agility hero with Butterfly), then get Monkey King Bar. You can also consider Stygian Desolator for the damage boost and armor reduction buff as well.