This is a pm I sent to DeepSix after he asked me about building Krieg:
I usually go Mania starting out because Hellborn and Bloodlust need a lot of points before they become useful.
I’d start with Feed the Meat and then move on to Empty the Rage. After that, put a couple of points into Fuel the Rampage if you’re playing solo or skip it and put a point in Thrill of the Kill. Move onto Strip the Flesh and drop a point into Light the Fuse (it’s better with 5/5 StF). Grab Redeem the Soul, and Salt the Wound. When you can, get Release the Beast and remove the points from TotK and FtR because they’re no longer needed. If you have a roid shield by then, add some points to Embrace the Pain to help keep it depleted.
Once you’re done with Mania, start adding points into Bloodlust. Fill up Blood Filled Guns, Taste of Blood, Fuel the Blood, Buzz Ax Bombardier, Blood Bath (can prioritize this over FtB if you’re using mostly Torgue weaponry), Boiling Blood, Nervous Blood, and Bloodsplosion in that order. Your remaining points can go into Blood Twitch or Blood Trance, though I wouldn’t use the later after True. I would stay away from Silence the Voices until you can get your hands on either a +6 StV Scream Sickle or a Legendary Sickle because I don’t think the extra melee damage is worth smacking yourself in the head at 5/5. At 10/5 or 11/5, it’s definitely worth it and you really need it for a melee Krieg in the OP levels.
Gear wise I would look for roid shields, adaptive shields, tesla grenades once you have BFG (for BL stacks), a good rage meat COM (+health and + health regen). After RtB, look for a either a sickle or a gore COM because you shouldn’t need the health regen. For weaponry, just grab whatever does the most damage. A Rough Rider is a great shield at any level, but isn’t really needed until the OP levels. If you have 5/5 EtP, I’d replace it every 10 or so levels outside of UVHM, where I’d replace it every 5 or so. All of them provide the same 20% DR, they only vary in how much extra health they provide. If you find an adaptive with more health, go with that instead.
Playstyle-wise, you’ll want to rampage whenever your shield is depleted and stay in your enemies’ faces until they’re all dead. Krieg is like an anarchy Gaige: the closer he is, the more effective he is. If you stay back, you’re going to have problems. Remember you have a ten second invulnerability timeframe when activating RtB, so use that time to get in your enemy’s face so you can come out swinging. Just don’t try to face-tank large enemies like Constructors, throw your axes instead.