This may not be the best build and I will try to explain and compare this build with others. Also this build focus on early-mid game and will leave the rest of the choices to you.

Sejuani is and tank to initiate team fight by AOE stun, protect the team and chase down enemies by tones of slow effects. She may not be a top-tier jungler but she is so far so good. This build is going to eliminate her weakness and to choose an effective choice.

The first impression of her is, something like Gragas, with a dash, slow effect, AOE control, and fairly tanky, but it's much more easy to be used, and hence she can get her advantage easily and frequently.

P.S. I got luck to win with Sejuani several ranked games so... just want to share with you guys.

Pros 4 abilities to sloooow Amazing ultimate skill to initiate team fight Long dash to chase or escape Nice AOE damage A sexy girl riding on a pig

Cons Depends on blue buff at early game Not tanky enough Don't have burst damage and high AD Not fast enough in jungling Everyone get mad on a sexy girl riding on a pig

I think Sejuani is not a good late game champion so I focus the early-mid game in this build, unless you get good AP/AD items and it works well with you. I don't recommend about that anyway.

There are builds recommending attack speed/armor pen for Sejuani, but this build is to enhance the AOE damage of her, which is her strength comparing to other champions.
HP runes are not bad but magic pen and ability power are chosen here as:
- She is still not very tanky with a little health enhancement, but her magic damage would be increased nicely with this build... in my opinion. You can test it out.
- The enhancement on Northern Winds is too less by a little HP
- Little AP really help on early jungling, better than HP
As she is a jungling tank, it is the best
Yes magic resistant is good. AP is chosen here because it helps on early jungling, and it works well with magic pen.

As her jungling ability is not good enough, they help her a lots
Sejuani needs mana, especially when you have to give blue buff to your AP carry. Runic Affinity gives you more mana when you get blue buff by killing opponent or stealing it.
All four of them are good. You can assign points on them as you like. Damage reduction and health are chosen here as I prefer durability then utility. Sejuani is not that tanky.

MAX Northern Winds FIRST! It's obvious.
Q: The wind do so less damage unless you froze the target, but Arctic Assault apply frost only 2 seconds. Why not max Permafrost first for better AOE damage?
A: Ah-ha!~ You don't know the trick?
1. Use Arctic Assault to hit as many targets as you can
2. Use Northern Winds and wait about 2 seconds
3. Use Permafrost to extend the duration of frost!
and that's why the skill sequence is W->Q->E instead of W->Q->W. Of cause W->Q->W->E is also a good one if you plan to gank at level 4.

The movement speed reduction of level 1 Arctic Assault is enough to disturb enemies so max Northern Winds first and then Arctic Assault is the best idea.

I get Mercury's Treads for most of the melee champions, as they are really hard to fight if they get any kind of CC, and other items with tenacity are not that good.
Anyway Ninja Tabi is a good item when the AD carry in opponent team is really terrible and he doesn't like a sexy girl riding on a pig to target you first for every team fight. If you do so, you should buy Eleisa's Miracle for hp/mana regeneration and tenacity.
Why not Ionian Boots of Lucidity? I don't recommend any CDR item here. I will explain more about it later on.
If you don't like this item, just skip it, in case you have your way to increase your jungling speed and HP regeneration. I think Sejuani is just too weak to keep the slow speed on jungling and killing dragon. At least she need a Madred's Razors.
No matter you buy Wriggle's Lantern or not, you should place 2-3 wards for the team or anti-jungling.
This is the core item in this build. You can find this in other build too, as it's too great for HP, MP and AP at the same time, and passive of the component Catalyst the Protector is just what Sejuani need to dominate the early-mid game. This item solves three weakness of Sejuani and extends the AOE damage.
You also can buy Catalyst the Protector before Wriggle's Lantern just after Madred's Razors.
Yep, flat HP, as the resistant of Sejuani is fairly high, and it scale up the main output skill Northern Winds. The upgrades of Giant's Belt are also good for her.
Ya that's what I recommend but don't buy this so soon if there are terrible APs in opponent team. Get more HP or magic resistant before it
In case you are not tanky enough and planing for Force of Nature or Atma's Impaler
Movement speed reduction 40% + Frost 10% + Permafrost 30-70% = hey I cannot move!
I didn't try this before. Well it gives you more slow effect and damage


Anyone want to buy all four of them? Wait a minute! You need resistant
You need magic resistant especially when you brought Sunfire Aegis before hand. Also, These three upgrades of Negatron Cloak are nice. Have your own choice.
The HP regeneration is OP for all high HP champions, Sejuani for example. She doesn't have really high HP but she will buy a lot of HP items.
Use this to avoid opponent's initiating skills
Yes this is possible, and this works well with your AP teammates. Maximize the total team output and give magic resistant at the same time.

Usually you should dominate the game when you get Giant's Belt and Negatron Cloak. At least you have your advantage in this period. Don't give your opponent any chance to farm and kick your *** in late game. I will talk about it later on.


Other Items

Have your own choice!~ The concept of this build doesn't focus on what item you get in late game. Just buy what can counter the opponent team.

I always start with Cloth Armor and five HP potions. Sejuani lacks of mana so she must start from blue, clear the others one by one, and then take or leave the red at last. To save a few seconds you can use your dash to pass through walls next to any camp.

When you get your blue buff you are level 2, you are available to gank with Q and W already, but I didn't try that usually as it may just waste your time and push out the lane.

If your teammate help you a lots when you get the blue buff, you can get the red buff and you should remain healthy. Don't miss any chance of ganking before your first recall, or sometimes just forces the opponent to use summoner spells and reduces their HP.

When you get Level 3-4, remember the trick (I paste this here again in case someone skip the chapters above)
1. Use Arctic Assault to hit as many targets as you can
2. Use Northern Winds and wait about 2 seconds
3. Use Permafrost to extend the duration of frost!

Try to get a ward for your first recall, it is useful to support your team and anti-jungling. Both your AP carry and Sejuani needs the blue buff, so that would be a great advantage if your team get two blue buffs at the same time, and she has good survivability to avoid being killed. Keep the dash when you steal the buff and use it pass through the wall when you escape. I'm not a professional about anti-jungling so please study about that in other articles. At least I can do so in ranked games :D

Early Game

Be more careful if you gank with a teammates who has a stun. You must avoid to use R at the same time with that stun. Usually I will approach the enemy first and just use my basic attack, and let my teammate do the stun first, then use Q+E if the enemy flash away, and finally use R if the enemy is not dead yet. Tower dive is easy for Sejuani.

You should try to dominate the opponent jungle by wards. It's going to disturb the opponent jungler and, more importantly, you are speeding up the game rhythm. As I said, you are stronger at early-mid game.

Mid Game

If your teammates want to farm instead of grouping in mid game, your should try to encourage them to do so (Hey!~ I will leave the KS to you!~), or to group by 4 and let the carry farm.

DO NOT DASH INTO A GROUP OF ENEMIES unless your team don't have any tank, or they just need one more second for AOE spell. Anyway the better decision is to use your R first, targeting the center of the opponent team, to stun as more as you can, then combo with E to slow them all. If your team kill one opponent before any team fight, don't waste your R then! Just stun what you can kill!

Usually you win the team fight if your team has more wards and you place the R well. Otherwise, try to get into the fight and flash out when you have low HP. Remember, don't try to 1v1 with carry as you don't have burst damage, and your main role is to slow the enemies down. Save any of your teammates by slowing enemies down, which is much more important than getting KS.

In my opinion, the ganking or team fight should win before your W cooldown if your teammates are not day-dreaming, so I don't recommend CDR rune/mastery/item in this build, to chase your target through a long miles and take the risk of opponent fight back. Of cause, you can do so and you will have a better survivability by low CD dash.

Late Game

You can try to get a Atma's Impaler to fight, or a Frozen Mallet to slow even more. When you get tanky, just do what a full tank will do. You can do better than other tanks by tons of slow.