Every item has its place and time in Dota 2, from the humble Iron Branch which fills our early game inventories to the decadent and depraved Eye of Skadi. However, some items are misunderstood, and are purchased even when they don't fit the situation. Here are three items in particular I see newbies buy far too often in the wrong circumstances: Vanguard, Perseverance, and Sange and Yasha.
Vanguard is an excellent item. In the early game, damage block is ideal method of damage reduction, and any melee hero who aggressively dives towers can make great use of Vanguard if they can get it quickly. After about twenty minutes, it begins to lose effectiveness. Autoattack damage rises too much for a flat damage reduction to effectively block. After its golden age, Vanguard is not worth buying, because all its other stats are somewhat mediocre. It gives you no additional HP over its component Vitality Booster and only a single point of HP per second over the Ring of Health, making it very inefficient for its gold cost.
Instead, if you need raw HP, consider buying a Vitality Booster and simply sitting on it. If you find a particular type of damage is giving you trouble, add some damage mitigation in the form of a Chainmail or Cloak if you can spare the slot. A Vitality Booster and either of these items is 1650 gold, and compared to the 2225 gold of Vanguard, you get far more for your money. Armlet of Mordiggian is another serious option. For 2700 gold, you can activate it to get a 475 HP buffer that lasts for a dozen seconds, and get a ton of damage as well.
Perseverance is another item newbies build way too often, but it lacks even the situational justifications of Vanguard. Perseverance gives you mediocre regeneration at a very inefficient price. It offers a pathetically small bonus to mana regeneration over the Void Stone used in the recipe, and ties it all up with a neat little bow of ten extra damage. This regen isn't enough to make a difference in fights, let alone the pathetic damage bonus. Let it me make it perfectly clear: Perseverance exists only as a stepping stone item and should never be bought on its own merits.
If you need HP regeneration and are ganking around the map, consider an Urn of Shadows. It gives you a heal that's quite powerful early in the game, a little extra strength, and mana regeneration, all in a package that's half the price of Perseverance. It can also be used on enemies for an extra nuke in those clutch moments. If you're farming for the late game and items that use Perseverance aren't something you're interested in, buy Tranquil Boots and take them apart later. Even with the recent nerfs, they are still among the best regen items for laning and are a great help while jungling. If you're a support and your team doesn't have a Mekansm, you should be building that; the HP regen aura is decent, the AoE heal is huge (if you remember to use it), and it's great for pushing too.
If you're in the market for mana regeneration, have a bit of an HP pool, and are playing a hero who has only a few big ticket spells to cast - such as Earthshaker or Sven - Soul Ring is an excellent option. Soul Ring gives both burst mana and sustained mana regeneration. If someone on your team already has an Urn, or you simply want to kill targets as fast as possible in ganks and teamfights, Medallion of Courage gives you a nasty active for making ganks faster and safer. If you're a hero with poor intelligence growth, Ring of Basilius is better because of the flat regeneration bonus, and it also helps out your teammates and pushes. If you're a hero of means, Eul's Scepter of Divinity is an awesome item to buy for the active: 2.5 seconds of invulnerability for yourself or 2.5 seconds where you can put a high value enemy out of action. That's worth more than gold can measure. Eul's also gives you 30 extra move speed to help you set fights up or run for your life when your setup fails.
Sange and Yasha has one specific use: chasing down heroes in extended engagements where neither side has many disables or much mobility. It only suits two heroes well: Lifestealer and Ursa. Newbies are typically lured into building Sange and Yasha because it consists of many small parts that are easy to get even with poor farming, constant deaths, and the mid-lane staring contests that characterize low skill matches. The stats it gives are only slightly better than items that cost half the price, such as Drum of Endurance or Ultimate Orb. The slow effect's chance to proc is quite low and it only gives 2% more movespeed than Yasha, which again is half the price of the pair.
If you're primarily looking for cheap damage, you have quite a few options. Crystalys is almost half the price, gives quite a bit of damage, and adds a nice crit to back it up. If you have an innate crit, then Maelstrom is a great alternative that also lets you push and farm quickly. If you're ganking or starting teamfights, Shadowblade is a good choice, giving 30 attack speed and damage and allowing you to slip past wards undetected. Just don't get into the habit of using it as an escape mechanism, or else you'll be taking a free trip back to the fountain covered in Dust. Armlet is another amazing option: an instant 31 damage if you're not a strength hero and a whopping 56 if you are, 10 attack speed, and a sweet 475 HP. Diffusal Blade is a wonderful choice for agility heroes, giving you plenty of agility, plus a slow and a purge to kill things like Warlock's golems, rune buffs, and the hopes and dreams of enemy Omniknights. Desolator costs as much as S&Y, but also gives you a drastic damage boost in the form of armor reduction, in addition to its sizable bonus damage. Desolator is great for smashing through important targets in ganks and speeding up pushes.
If you're looking for simple stats or movespeed, Drum of Endurance is half the price and gives a 5% attack and move speed aura that can be raised to 10% by activating a charge. It's great for teamfights and burning down buildings when it's a matter of life and death.
For extra ganking power, Diffusal Blade is a great choice, giving 22 or 26 agility depending on its level and a purge for those pesky debuffs/buffs. There's also Rod of Atos. While a bit niche, it has an incredibly long range 50% slow on a 16 second cooldown for less mana than using a TP scroll. There's also Orchid Malevolence, which consists of many cheap items that give great stats for caster heroes.
There are so many more items I could discuss and so many possible situations in Dota 2, but in the end knowing how to spend gold is almost as much of a skill as getting it. Knowing how to properly spend your gold is a skill based on knowledge, not only of what the tooltips say, but the math behind gold efficiency and a gut sense of what works and what doesn't.