So, just a preface, this is my first personal build idea. I've made some variations of a few others that I use myself, but this is the first I built from the ground up.

Sejuani is a ridiculously CC-heavy champion, and the only issue I had was her cooldowns, primarily on her Bolo. With this, you maintain the tank stats that she is known for while capping your CDR at 40%. This brings the CD of your Bolo to around 50 seconds, and reduces all of her other cooldowns to absolutely minimal amounts.

The purpose of this build is not to deal damage, though Sejuani packs a decent punch just from her abilities. The primary purpose is to throw out as much CC as you can, suppressing the enemy team and ensuring yours is free to attack, while remaining alive to harass enemy champions for as long as possible.

Pros:

Strong, continuous CC
High survivability
Quick recovery

Cons:

Fairly weak damage
Nearly useless early-game

Smite - Obviously, because you're jungling.

Ghost - My personal preference. Sejuani already has a good short-range dash through her Q, and it allows her to cross walls. However, she has nothing that increases speed, and anyone with a speed boost can close to you or get away before you can reach them. Remember, all she needs is one hit to use Permafrost, and after that, they might as well be dead if they aren't under tower.

Flash - A good pick, allows for more mobility and more distance on her Q dash. A flash-R combo can also help to land the shot much easier.

Teleport - Viable. Due to the extreme tank stats Sejuani stacks, she would make for a decent split-pusher, and can easily disengage if need be. However, she has little to no damage of her own, and works best in group fights where she can harass the enemy team and prevent them from damaging yours.

The build order is made so each item leads into the next.

Jungle trinket and boots are first, obviously.
Dead Man's Plate follows to add more mobility.
Warmog's follows next, easily breaching the 3000 health required.
Frozen Heart and Iceborn Gauntlet caps your CDR, allowing heavy use of Sejuani's CC abilities, as well as slowing the attack or movement speed of all enemies near you and giving a large amount of armor.
Liandry's to finish, adding more endgame punch.

The CDR items are later in the build, allowing you to level and build the mana pool required to spam CC as much as possible. Late game, I've hardly ever had issue with mana.

Warmog's is an absolute must-have for this build. If you ever cross below a thousand health and the fighting isn't too thick, back off for thirty seconds and your health will nearly be back up to full. Later in the match when roaming and group fighting, this allows near-full regeneration in between engagements.

Dead Man's Plate can be swapped for another damage item if preferred. However, I personally enjoy the high mobility and speed added, allowing you to cross the map much quicker and assist teammates. This is early in the match to allow for quick ganking and assists during laning phase.

Iceborn Gauntlet or Frozen Heart is up to personal choice. Iceborn Gauntlet adds Spellblade, allowing you to empower the first hit of your W or follow up a Permafrost with an empowered strike and slow the enemy even more. With the heavy armor bonus from your other items and Sejuani's passive, the radius of the slow field is greatly increased. Frozen Heart, on the other hand, provides even more armor and slows the attack speed of all enemies around you, allowing Sejuani to last much longer against melee champions in group fights.

Finally, Liandry's gives you more damage at endgame. Up until the end, your Flail spin scales well off your health, which is continuously building from other items, but it tends to fall off late game as you get less bonus health. The burn from Liandry's counteracts this, and Permafrost will temporarily double its damage.

Pick up your W to do the most damage to the jungle creeps.

I prefer to start with red buff on Sejuani. On your first jungle clear, before getting her Q, she doesn't have much of an issue with mana but could definitely benefit from more damage.

Pick up E to deal a bit more AoE damage to creeps.

From Red, go to Krugs, then swing through the river and get scuttle on the way to the other side.

By now you should have your Q, so use it to wall jump at will and cut out some travel time in the jungle.

Get Wolves first before Blue to avoid backtracking with Sejuani's incredibly slow base speed. Hit Gromp, then scuttle on the other side.

Go back to Raptors, and by this time Krugs should be back up, so get them again.

If Red scuttle is back up, hit it before going back for gear.

Sejuani will definitely need Hunter's Potion early, as she doesn't deal much damage and doesn't yet have the survivability she gets late game.

From there, get your Red buff again and hit camps as they come up. Once you have your ultimate, pop into lane as desired to freeze, stun, and slow enemies and give your laners an easy kill.

Sejuani's W, Flail of the North Winds, is by far her biggest single-ability damage dealer. Later in game, when you have more items, the damage severely ramps up due to the health scaling on the ability. This is a hands-down first pick and first max for any Sejuani build.

Next, take her E, Permafrost, which blasts and slows any enemy you've damaged within the last four seconds. The AoE damage is good for jungle clearing, and the slow can severely impair a fleeing enemy, allowing your laners to deal far more damage before they get under tower. Obviously, this synergizes off her AoE, allowing you to follow up the damage with a final blast and slow. Maxing this increases the damage dealt on activation and the slow, getting all the way to 70% at max.

Finally, her Q, Arctic Assault, is a short-range dash that stuns the first champion it hits. It's decent during jungle clear if you can line it up properly, but I mostly use it for wall jumping and engaging on ganks. Since it has the least utility for jungle clear and the least effect from maxing, I generally pick it up at 3 and leave it for max until last.

And, as usual for any champion, pick up her R at 6 and max it whenever possible. Her Ultimate, Glacial Prison, is a ranged AoE stun that seriously packs a punch. It can be used as an engage, in the middle of the fight on a group, or as a finishing move against a fleeing opponent. As long as you land the shot directly on a champion, it will completely freeze them and all other enemies around them for up to 1.75 seconds, giving you time to close the distance and engage, and for your allies to burst down their health. Just be careful not to use it on a tank.