I've decided to make this just as a way to let me people see the possibilities of Sejuani.
As for me I usually don't like playing tank characters. I'm more of a get right into the battle shooting out massive crits or casting some OP AP abilities.
Sejuani is the first character I feel really comfortable with playing and actually enjoy. She's fast pased and played properly a enemy champion will never escape death.
But by all means, use this as a basic guideline, everyone has a different style of play and whatever you are more comfortable with will give you the better edge in a battle.

tl;dr. Extremely fun to play, with your slows you are capable of getting high kills/***its

Absolutely amazing at taking damage

Trying to build as much tankyness as possible, so these early game stats will help you with pushing and sustaining your lane much better. I won't personally go into detail about the runes as I wouldn't expect people to spend thousands of IP just to follow along. Use what you have to get the best tankyness as possible.

Basic Skill Sequence

My most common Sequence I find my self doing is ...
Arctic Assault, Perma Frost, Northern Winds, Glacial Prison, Northern Winds, Perma Frost, Arctic Assault, etc ...

Reason Being...
I initiate with Q(Arctic Assault) by just doing this the enemy champions will usually start their run so I get in as many hits as I can untill they are too far to auto attack and that's when I activate my E(Perma Frost) too slow them right back down to my level. Once I am caught up again I will activate my W(Northern Winds) To do a sustained amount of damage to them while I auto attack and run beside them. At this point they are back at their tower or you've almost got them. That's when I active my Ult(Glacial Prison) This massive stun let's me re active my W(Northern Winds) and auto attack them to their death. If for some reason you are un able to kill them yet then just continue with Q(Arctic Assault), E(Perma Frost), W(Northern Winds)


Second Sequence

Q(Arctic Assault) initial charge, W(Northern Winds) Constant damage, E(Perma Frost) Slow when they start to run, either W(Northern Winds) again or Ult(Glacial Prison) to end them.

Heal
Obviously a good boost of HP when needed during a battle, also great for setting traps and ganks..

Teleport
Always be where you need to be. If you're at top lane and you need to get bottom asap, here's your answer.

Your W(Northern Winds) if your best friend, amazing for farming.

On a big minion wave when I know I'm safe from enemy attacks I'll jump in with my Q(Arctic Assault) too apply frost to all of the minions and mid way through the charge I activate my W(Northern Winds) to instantly start damaging minions. A quick press of my E(Perma Frost) should finish off all the minions or get them low enough that my W(Northern Winds) will finish them off.