This guide is not meant to provide the fitting builds for every situation. It only contains some example builds that I think are pretty good on Anub'arak, but they might not fit every playstyle. Just look at the playstyle descriptions for more information about that point.
Also, if you already are good with Anub by using a completely different build and playstyle, do not let me tell you to change that. Every character in this game is usable in many different ways. These are just the builds I go for in the fitting situations.

Playstyle

As the name says, you use this build, if you are the main or even only warrior your team has. In the early game you are quite weak, as Regeneration Master still has to stack up, but the longer the game continues, the stronger you get; in the late game you are a real monster in fights of any kind. To play this right, just make sure you always stand in the faces of the enemies and soak up damage, stun, and deal some damage yourself. Do not use your Burrow Charge offensively, unless you are absolutely sure to survive the fight, as it is your only escape.

Talents
Level 1:
Taken:
Regeneration Master
Take this, it is one of your main tools for survivability, you will rely on it really much, just do it! Remember to get regen orbs in the early game to stack it, of course.

Not taken:
Extended Spikes
Crowd Control is only your second focus. Would be good on another level, but you just need Regen Master.
Persistent Carapace
It just does not provide as much survivability as the huge extra life regeneration.
Assault Scarab
No, just no. It is a nice little damage boost, but you are a TANK! Only build for damage at levels, where there are no necessary survivability talents.

Level 4:
Taken:
Underking
The cooldown reduction is really nice and with the range increase you can use your Burrow far more effectively, offensively as well as defensively. This talent is just good.

Situational:
If your team has some heroes who are really good at taking merc camps like Gazlowe or Illidan, you can take this as well, as the damage reduction can come handy, too.
This can be quite good if your team lacks wave-clear, but otherwise damage really should not be your decision compared to something like more and better stuns.

Not taken:
Legion of Beetles
This talent only works paired with some other beetle upgrades and you do not have those with this build.

Level 7:
Taken:
Bed of Barbs
Gives you some little extra damage and applies a slow after your stun. Therefore provides some really good utility.

Not taken:
Shed Exoskeleton
A slow additional to your stun gives you almost as much survivability if landed and Bed of Barbs has got more utility in fights.
Urticating Spines
Again, you do not focus on damage primarily. And the damage this provides is not that much higher than the damage of Bed of Barbs.
Leeching Scarabs
This also is only really effective together with some other Beetle upgrades. And you do not need the healing if you stack Regen Master well enough.

Level 10:
Taken:
Locust Swarm
This ability can win your team a fight almost by itself, good AoE damage paired with a ton of self-healing is a really great thing to have, don't pass on this one when you are the main tank.

Situational:
Cocoon
This ability has just not that much use compared to Locust Swarm. It does not make you tankier and does no damage. Taking a key target out of a fight can be good, but with this build never as good as Locust Swarm... if Cho'Gall is not enemy team. Because, if he is, you can take TWO heroes AT ONCE out of a fight. And that is just SO DAMN GOOD.

Level 13:
Taken:
Burning Rage
On this talent tier you are almost always free to pick damage and do not need some more survivability. And Burning Rage gives your team a ton of that as you will be standing on the frontline all the time and deal the Burning Rage damage.

Situational:
Spell Shield
If the enemy team has got tons of burst and focuses you, this can help you gain more durability, but will reduce your damage by a significant amount.
Chitinous Plating
If you need the extra tankiness, because the enemy team has mostly auto-attack damage dealers and focuses you, you can take this for more survivability as Spell Shield does not help against auto-attacks at all. Otherwise there are two talents you should consider before this.

Not taken:
Symbiotic Armor
Well...no. Your beetles are the least thing you care about with this build and even if you would build for them, this would not be a really good talent, so... just no.

Level 16:
Taken:
Epicenter
As you are really tanky already at Level 16, you can more frequently use your Burrow Charge as a engaging mechanic. Therefore, this talent will give a lot more stunning and damage potential, which is very nice in fights of any kind.

Situational:
Imposing Presence
If the enemy team has many auto-attack heroes, this can ruin their day, but it is not really useful otherwise.

Not taken:
Beetle, Juiced
Your beetles will not kill many things themselves. And you are not building for beetles. Not a good talent at all.
Blood for Blood
Epicenter gives you more damage and Imposing Presence more durability. This talent is not bad, but there are better things at this level.

Level 20:
Taken:
Hive Master
That little locust really gets work done. The damage output is quite decent and the healing gives you a ton more sustain. Besides, (this is not, what should concern you, though) it looks quite cool.

Not taken:
Cryptweave
Even if you have this ultimate, the upgrade is not good. Not at all.
Hardened Shield
It is good and gives you some survivability, but the locust gives you more.
Rewind
With this you could dish out tons of stuns at once, but you would pass out on a really substantial sustain and damage increase. Therefore, do not take it!

Playstyle
You will go for this build, when your team has got another warrior, so you do not have to be the tank. This allows you to get quite some damage out, but be aware that you are not as tanky as with the Main Tank Build. To actually do the damage you want to do you have to use your abilities quite often as the talents focus on beetles especially in the early game, but do NOT spam them or you will be out of mana quicker than you think.

Talents
Level 1:
Taken:
Assault Scarab
Here you can take this as you want as much damage as you can get and this boosts your DPS quite much if you spawn enough beetles.

Situational:
Extended Spikes
If the enemy team has got too much potential of killing you, this gives you more safety while dealing damage. Still, Assault Scarab is just better.

Not taken:
Persistent Carapace
This talent gives you less survivability than Regen Master plus survivability is not even what you are building for. Why would you even think about it?
Regeneration Master
It is a cool talent, but the complete opposite of what you want to take. So: no!

Level 4:
Taken:
Legion of Beetles
Paired with Assault Scarab from Level 1 this gives you good damage just from your beetles. It effectively increases your beetle spawn rate by around 30%. Really good!

Situational:
Locust Needles
If you have not picked Assault Scarab at Level 1, Legion of Beetles will not give you much worth, so take this instead for a nice AoE.

Not taken:
Underking
Good, but as there are two better talent choices for damage at this level, do not take it with this build.
Mercenary Lord
As Anub'arak you will not have much to do with mercs. And even if you would, this would not be as good as the other talents as the damage reduction does not fit into this build.

Level 7:
Taken:
Bed of Barbs
It increases the damage of your Q by quite a bit and the slow also helps you. It is just good.

Not taken:
Shed Exoskeleton
Again a pure survivability choice. Besides, the survivability Leeching Scarabs gives you is better, so even if you wanted more of it, you would not pick this talent.
Urticating Spines
This also does some good damage, but you would miss out on the slow of Bed of Barbs and that is not something you want to sacrifice as this slow allows your beetles to do even better work.
Leeching Scarabs
You do not build for durability. It is as simple as that.

Level 10:
Taken:
Locust Swarm
Again, the AoE damage is really great. And he healing is also good, although not what you are building for.

Situational:
Cocoon
Look at the Main Tank section for description.

Level 13:
Taken:
Burning Rage
The damage is really good, especially in long fights.

Not taken:
Chitinous Plating
No survivability build.
Symbiotic Armor
This is not that great as your beetles normally do not vanish by dying, but by their duration expiring. Therefore it is not worth taking.
Spell Shield
Again, no survivability build.

Level 16:
Taken:
Epicenter
This is a nice little damage and stun potential boost you do not want to miss out on.

Situational:
Blood for Blood
If you need some sustain in addition to your damage, this can be a viable and good choice.

Not taken:
Beetle, Juiced
Your beetles will VERY seldom end up getting the killing blow on something. You will not get much use out of this.
Imposing Presence
No survivability build.

Level 20:
Taken:
Hive Master
The additional damage has an impact you feel. Plus, it gives you some good sustain.

Situational:
Rewind
Take this if you have gone for Cocoon and use it liberaly as double abilities means not only more stuns and ability damage, but also DOUBLE BEETLES!

Not taken:
Cryptweave
Even if you have this ultimate, the upgrade is not good. Not at all.
Hardened Shield
First, you should not get focused that often. Second, no survivability build.

I hope you enjoyed reading this guide, although there may be language mistakes as English is not my first language.
Have fun with Anub! He is really worth playing!
Peace out, guys!
Hardrocknerd