First, my two go-to items for non tanking heroes: Urn of Shadows and Horde Wand.

Urn has 50 charges in Horde Mode for 875 gold. The regen is much needed early on for most squishies and IMO should be /the/ core support item, along with possibly Vlad's.

Wand is a great supplement to health and mana but only if you're getting last hits; This would be considerably more useful to someone like Omniknight than it would Crystal Maiden.

Early defense items: Stout Shield, Poor Man's Shield, Chainmail.
For this post I'm going to assume that we're a melee hero fighting 8 creeps dealing 50 damage per attack.
How much do these items help me?

Stout Shield: Will block an average of 8 damage per attack. We take 334 damage, and Stout Shield on average blocks 64 each time all of the creeps attack us.

Poor Man's Shield: Will block an average of 14 damage per attack. We take 288 damage, and Poor Man's Shield on average blocks 112 each time all of the creeps attack us.

Chainmail: Assuming our hero has 0 base armor, will block an average of 10 damage per attack. We take 320 damage, and Poor Man's Shield on average blocks 80 each time all of the creeps attack us.

Now if we decide to be smart and get both as a squishy 0 armor hero, we will take only 230 damage, blocking 170 of the damage.

Math!

I find the Horde Wand exceptionally useful, to the point where its real limitation is the cooldown. If I get it on somebody like Lina, I can solo the lane until they eventually overwhelm it.

The Horde Dagon is also incredible, even for people who wouldn't normally build one. The upgrades are ridiculously cheap, and so the whole thing is probably better than Battlefury in the early game for even melee carries. If you go that route, you might even still want to upgrade it to a Death Stone later, then sell it in the late game when you need the slot for something else.

That's some nice math there. I've been wondering if it is better to get a ring of protection or a stout shield as ranged. The stout shield is sometimes worthwile against the low damage ranged creeps, which tends to swarm you early-mid, but then RoP builds into Basilius and/or Tranquils. What is the calculation comparison on those two start items?

Also, a serious tip that so few people seem to know about: Blink dagger. It gets you out of danger, it lets you bypass the horde if you get swarmed, escape bosses, increases your mobility by a HUGE margin and thereby your farm. Seriously, it is the first item I buy with every hero.