In my humble opinion I think that Anub'arak is one of the most underrated champs in HOTS. He has a bit of a learning curve but he is by far the most fun champ I've played. His CC, initiation/escape potential, sustain, and AOE damage all make him a very strong champ. Not many champs have a initiation AND cc diving skill pre 10 allowing you to turn the tides of a team fight surprisingly quickly (or get yourself killed... be careful out there).

During laning phase you have a few choices. My preference is to join a lane with a high damage champ or hold a lane on your own if you have a roaming assassin (ex. Nova). The level of harassment that you can put out is pretty substantial. The moment you hit somebody with your Impale you've immediately set them up to take significant more damage from your allies and once the opportunity arises dive in with your Burrow Charge to secure a kill. Now you can take significant harassment yourself so you have to be smart about when you use your Impale and Burrow Charge and for the less aware, be sure to use Harden Carapace to mitigate any incoming damage...
As far as team fighting goes you have to be careful. If you find the carry trying to pick off champs from the back line dive them to force them out of the fight if you have the health. If you don't then use your Impale to help peel for your team. I cannot emphasize the importance of utilizing the impale should the fight go sour. Even if it means that you die you can easily save the rest of your team by giving them the space they need to get away (henceforth he shall be known as St. Anub). Anub is pretty squishy early without some of his higher tier talents so keep that in the back of your mind. And please, never initiate with your burrow charge when your team is somewhere else on the map, that's just silly.
As far as talents go here's the breakdown:
Tier 1: I like Extended Spikes, I find when I don't have it I miss it and it's super helpful in lane. Quite honestly though any of the options are good in this tier. Want to be beefier? Grab Regeneration Master, want your beatles to be worth something beyond soaking up ammo and tanking mercs? Grab Assault Scarab
Tier 2: Underking This is your main initiation and your best escape tool, getting a lower cd and increased range is too good for me to ignore. I do not like Locust Needles, your auto attack is slow, and champs don't stand to close in team fights. Even in an aoe build I do not recommend it.
Tier 3: Urtricating Spikes Extra damage is nice, it clears the waves really well espcially once you get Burning Rage and fantastic for obtaining skulls and seeds. I have seen the naysayers denounce this ability but I think it really is a core part of the aoe kit. Play to your style though, this tier has some fantastic talents, all of which should be considered.

Locust Swarm is one of the most deceptive moves in the game. It deals damage and heals for a surprising amount to EVERYTHING around Anub. This means that you don't have to worry about threading the needle between minions to land a move, you can take out huge minion waves easily, it's hard to time it poorly, it can't be interrupted, and it turns you into a beefcake.
A giant beetle beefcake.
Here's the strategy (assuming you are not 4 levels behind the enemy). Dive their team, hit R, win.
Sure it's a little more complex than that but the beauty of the move is that you can sustain A LOT of damage and while the team is trying to take you out your team has the opportunity to come in and take advantage of all the cooldowns they just blew. If the enemies turn on them don't worry, stall some more with your q. In short, the move turns you from a initiation overly excited puppy to an initiation Panzer tank.
Rawr.
But what about Web Shot. Fantastic question, I don't like it because your opponents aoe spells can save the hero thus wasting no time on their part and an ult on yours. There are however situations where it is necessary to remove heroes from a fight entirely and this can be a great tool for that. I wouldn't write it off but I very rarely choose it.

A quick synopsis-

Burning Rage - More continuous, persistent, unavoidable, aoe damage

Blood for Blood - Damage spike for those high sustain warriors, the bane of Muradins, Stitches, and Diablos, not to mention a good heal for you or even a creative escape tool. Yes ladies and gents, it's 3 tools in 1, the swiss army knife of talents

Hardened Shield - This is exactly what this build needs. Now no matter the circumstances, you can dive the enemy team and survive long enough to put out some real scary damage. I pick this 90% of the time. Rewind is a very strong tool too when used correctly. You can put all the enemy team on the CC train with embarrassment and death being the only stops.

Stick with it, learning to play Anub is so rewarding and so fun. Please feel free to ask any questions that you may have. It's my first guide and all so you know, feel free to judge.
Jerks.


P.S. you have two really strong CC moves (three if you grab Web Blast) if there's a Nazeebo on the enemy team be sure to sit on his face the entire game and laugh as he tries to accomplish anything in a team fight.