Why not pīnyīn?
It’s been asked how one would go about writing something that isn’t really written. Pīnyīn doesn’t really work as there are more sounds in Wu than in Mandarin and the pronunciation isn’t all that similar. It would be terribly deceptive to transcribe something using pinyin as in many cases there’s just not enough syllables in pinyin or for that matter enough vowels to make it very accurate. For that reason I’ll rarely be using pinyin on this site.

Characters / 汉字
When Wu is written, for example on Wikipedia, it most often makes use of characters based on sound approximation. For example, 很脏 hěn zàng which means “filthy” would be written in Changzhou dialect as 或呐哒 huò nà dā, but in Wu would be spoken as wei ne da (that’s with pinyin vowels, one of the few cases where it mostly works). As Mandarin, those three characters when put together are meaningless. An example is the use by some Shanghainese of 伐 for 不 in place of 勿 or 弗 which are also frequently used. You can find a number of these “Mandarin to Wu phrases” on various forums throughout the Chinese language BBSs. I’m much less likely to use this sort of transcription as it is ultimately useless to anyone but a Chinese speaker looking for a laugh.

Furthermore sometimes traditional, now-obsolete or just less commonly used characters are also used. See the post “Writing with Characters” or “Characters & Shanghai Dialect”for examples.

Wu Pīnyīn
Some texts resort to a pīnyīn-esque transcription system. Though not standard, texts using this kind of transcription tend to be pretty close to the following.

Consonants taking an extra letter h typically mark full voicing. In Mandarin pīnyīn, p is read [pʰ] and b as [p]. Under the modified pīnyīn, bh would be [b]. The same goes for dh, gh and sh, the last of which is pronounced [z]. Additionally fh is pronounced [v], a sound absent in Mandarin. Other letters grouped with h include jh [dʑ], xh [ʑ], hh [ɦ] and yh [ɦy].

There are also variations to mark finals of syllables. Glottal stops are marked with -k or sometimes -g, -t and -d depending on the author. In cases where all four are used, it is to distinguish between tone. Other endings are as follows.

International Phonetic Alphabet
Vowels
These are the vowels that most commonly occur in Wu. This does not cover the whole range, though it comes close to it. You can find charts specific to Shanghainese, Suzhou dialect and Changzhou dialect on Wikipedia.

/i/ – the vowel sound in English fleet
/y/ – the transcription for the pinyin ü. 绿 would be [ly]
/u/ – American English boot
/ɯ/ – the same as /u/ but without rounding your lips. no English equivalent
/e/ – American English play. Australian bed
/ɪ/ – American English bit, if.
/o/ – American English row, or, the name of the letter O
/ɤ/ – vowel sound in Chinese 河
/ɛ/ – American English bet, mend
/ɔ/ – vowel in Chinese 我, 佛
/ɑ/ – American English spa, Arabic fatha after emphatic dark consonants
/ʌ/ – as in English under
/a/ – vowel in Chinese 他, 马
/æ/ – English cat
/z̩/ – This is the vowel sound in 子, which . Some dialects such as that spoken in Changzhou also have a rounded form, written /z̩ʷ/ (see below).

Consonants
Wu dialects make use of a number of voiced consonants otherwise absent in Mandarin. It’s the difference between English p and b. However in many dialects the voiced consonants are slack voiced giving them the soft quality for which they’re known. A slack voiced b is written as /b̥/. An example in Shanghai and Changzhou dialect is 的 pronounced as /ɡ̊ə/.

Things that are different from what you’d expect are as follows.
/ŋ/ – ng
/ɲ/ – as in ‘onion’, sometimes formerly written /ȵ/. see below.
/ɕ/ – pinyin x, so 西 is [ɕi]
/ʑ/ – the same as /ɕ/ but vocalised.
/ʂ/ – sh in Mandarin 是
/ʃ/ – sh in English
/ʒ/ – the same as /ʃ/ but voiced. Think the middle of the English word “vision”

Variations on IPA
There are a few letters that have historically been used by sinologists to mark alveopalatal stops. Alveopalatal sounds are rather common in Chinese languages. If you’re not sure what sounds those are, think of 小. The pinyin x corresponds to an alveopalatal sound written in IPA as /ɕ/. 小 would thus be written [ɕiɑu]. Pinyin q would then be /tɕ/. In the case of Changzhou dialect, among others, you can easily find linguists using the symbol ȵ to mark an alveopalatal nasal. In keeping with IPA, this should instead be written as/ɲ/, the sound mentioned in “onion” above. It’s almost the normal /n/ except that it is further front than most /n/ sounds in English. In the case of the x in pinyin, /ɕ/, if you pay attention while making this sounds as compared to the standard English sh /ʃ/ which does not occur in Mandarin, you can tell one is further forward.

Other features
The double trianges ː after a syllable marks it as longer than others.

The small superscript h, e.g. /pʰ/, marks aspiration. This is the puff of air which distinguishes the difference between Mandarin 柯 /kʰɤ/ and 哥 /kɤ/. Note that Mandarin officially has no /g/ but rather an un-aspirated /k/.

The small superscript w, e.g. /z̩ʷ/, marks rounding. For Chinese speakers an easy way to think of this is the pinyin ü, sometimes written v. this sound is essentially the same as the vowel sound in English ‘bee’ /bi/, but with your lips rounded as if they were making an oooo sound. So for /z̩ʷ/, make a zzzz sound while your lips form a circle.

Fonts you might need:
I’ve mentioned this elsewhere on the site but its worth mentioning again. The font I’m using for all of the IPA is called Lucida Sans Unicode. It comes with Windows 95, 98, ME, and XP and, i can only assume Vista and Windows 7. If you’re a Mac user, Helvetica should already be installed and will do what you need. I’m also making use of Lucida Grande, which comes as a default font on Mac OS. It also ought to display the full range of IPA symbols but I’ve not actually tested it all out.