This is my first guide, so please go easy on me.

So I play a lot of Sejuani in the jungle and I have here a couple of builds I like for her. The new defensive masteries play well into Sejuani's kit, and her W scaling with AP and HP as well as being a damage aura has a unique feel to it in the jungle. She has on demand slows and a Q that does %Max HP damage, so Liandry's is great for whittling down the enemy team. Lastly, her ult can be very absurd with its duration and range and aoe radius. Her passive is great for tankiness and mobility, and reinforces the rest of her kit really well.

Smite. You're a jungler.
Ghost - really great on Sejuani since her Q can go through walls and is almost and so she isn't dependent on Flash as the only way to escape

Pros:

Great clear times
Great mobility
Scales with HP
Passive +Armor
On demand, high magnitude slows
Q does %Max HP damage

Cons:

Ganks can be lackluster, especially pre 6
Does almost no damage whatsoever when out of mana
Leveling up your E doesn't reduce its cooldown
Highly dependent on others for damage, especially early game
Activating your E in a gank but failing the gank overall will usually wind up taking a lot of CS

This may seem unconventional, but most of your jungle clear will come from +HP on your W, and since Sejuani builds so much HP the +% HP seals stand out to me. I don't usually need flat MR on Sejuani too often unless I'm likely to get invaded level 1 or 2. I split it 3/6 so that you're even with flat glyphs when ganking mid after you get your ult. The marks fall in with the seals. You still need flat armor, and because so much of your early game damage comes from +HP anyway, Sejuani doesn't need more than 4 flat AP marks to get decent returns on level 1 W. I personally prefer +% HP Quints on Sejuani since I almost always get boots of mobility and she has a naturally fast jungle clear and can navigate through walls with her Q. If you don't like this, movement speed Quints would be the alternative.

The +HP from runes isn't displayed in the guide summary at the top, but you'll be at 4905.6 HP on the jungle item build and 5069.85 on the other final build. +425.6 and +439.85 HP, respectively.

Swiftness isn't really necessary with your passive and tenacity from Spirit of the Elder Golem. Oppression will save you from a lot of damage by the end of the game with your E and R. 2 Points in Tenacious makes up for the small gap in armor from runes for early game, Perseverance and Second Wind go great with your HP and Warmog's.

+HP and damage auras. You're Sejuani. Sunfire gives you a two-fold damage aura boost with its passive and the +HP it gives to your W and will let you clear the jungle absurdly fast, and will also help whittle the HP of enemies in team fights.

Liandry's Torment is great as the magic pen will help your damage auras as well as pile on true damage to do more damage aura whittling.

Warmog's, because it's Warmogs and you scale with HP and are a tank.

Boots of mobility will let you get a lot of jungle farm and help you gank your lanes, but if you for some reason can't get it within a reasonable amount of time, Ninja Tabi is the preferred alternative to protect you from those adc's.

Spirit Visage boosts the healing from your masteries and Warmog's, provides MR, and CDR to boot. Did I mention +HP?

Spirit of the Elder Golem. +HP, Tenacity, and GP10. As Sejuani you will clear the jungle fast enough to optimize returns from this item as a GP10. However, after jungling stops being practical later in the game, I often trade this item out for more armor, typically Randuin's Omen.

Randuin's Omen has everything Sejuani needs. Frozen Heart is preposterous, and Thornmail typically isn't worth it since you already do so much residual damage, plus it doesn't give HP. Iceborn Gauntlet, however, if needed, provides a good source to cash in on that Oppression mastery point and Sejuani can make use of all of the stats, and it procs with her W.

If you're fed:
Funny things to do include buying RoA and doing crippling amounts of PBAoE damage with your W. Getting Guardian Angel to be extra annoying. Buying a Zhonya's on top of all of that for the guaranteed couple seconds added to your lifespan and the total 100 armor behind your RoA boosted HP.

W really, really gives you incredible clear, while E makes your ganks significantly more effective as the magnitude of slow increases. If you feel the points in E aren't necessary, you can max W first. I usually max Q last because I typically only need it once or twice per gank, and it's more effective late game when people have more Max HP.

I typically go Blue -> Wolves -> Red -> (using Q to dash through the wall from Red) Golems -> Wraiths/Gank -> Gank/Wraiths -> Wolves/Gank -> Gank/Wight

Pop E early vs. jungle creeps to maximize your returns from the Oppression mastery. Skill sequence is typically W -> E but can be W (queue) -> Q -> W (activates onhit) -> E if you're in a hurry or need to go through a wall. Try to conserve your Q, though, as it costs a lot of mana and is core to ganking.

Later in the game, simply walking into a lane and popping W -> E will clear the entire wave of minions.

Sejuani enjoys people that can chase down her slowed and weakened targets. She also appreciates AD, as she does almost no AD damage. Because of how short the range on her Q is, people that can provide CC protection, such as Morgana.

Sejuani regens HP relatively fast from her items and masteries, so she appreciates barriers that will let her heal up passively in team fights. Morgana comes up again, and other complements here include Lulu, Karma, Janna, Kayle, Lux, Orianna, and Thresh. Also bruiser-y supports that take Face of the Mountain are appreciated, such as Gangplank, Poppy, Nasus, Leona, Taric, Mundo, etc.

Chasing champs appreciate that Sejuani can activate her E after the enemy flashes away if they're marked. Champs such as Teemo, Jinx, Quinn, Udyr, Tristana, Lee Sin, Gangplank, Vayne, etc.

Allies that regularly take Grievous Wounds, such as Lux, to help your residual damage stick vs. life steal.

People that appreciate Sejuani:

Yasuo (Sejuani's Q knocks enemies airborne and can affect multiple champs.)
Riven
Trundle (stack slows)
Jinx (slow often allows for landing her W)
Teemo (slow and ability to whittle enemies and hit after flash)
Thresh (slow for grabs)
Singed (same as teemo)
Morgana (lets her land her ult very reliably)
Jax
Gangplank
Aatrox

Champs that really stand out in general are:

Gangplank
Morgana
Jinx
Teemo
Thresh
Lux
Lee Sin

Sejuani is similar to Volibear, who also scales HP, but has a quicker clear and an easier time ganking. However, as she's AP damage and majority DoT, she requires teammates that can make her damage stick or make use of her damage as a pseudo -regen effect. One thing that's very important is when to use your E: typically immediately when jungle farming and save for after a flash on ganks. Her W also resets her AA, which can be used for clearing wards quickly. Her W also queues before activating and should be used before Q'ing in on ganks. Lastly, she is at her best vs. multiple targets, which is unfortunate for quickly clearing Dragon. However, since her ultimate provide such long duration CC, she can still go for dragon early on if she can clear bot lane.

Final note - Vision Wards:
Buy one early and place it in the small river bushes to get your money's worth. Also a ward placed in the bush behind the enemy red buff can change the entire game in your favor and can be invaluable for your mid lane.