This is my first guide ever so it's not very polished but I felt like I had to make it to express how good Sejuani is as a champion, and how underrated/underused she is.

Sejuani is an amazing jungler so it's a shame to rarely see her get played. I'm not a pro but I do a fair bit of jungling and it's safe to say that Sejuani can win games for her team pretty often. Her ganks are really powerful from level 3 onwards, shes incredibly tanky and mobile making her tough to kill and she can turn a teamfight around with her cc in seconds.

Pros:
Super ganks that are nearly always successful.
Extremely tanky.
Very mobile tank.
Unparalleled CC.
Queen of the Teamfight.
Clears with ease.
Has some ok initial AoE burst damage.
Underestimated very often so people make mistakes :)
Rides a giant boar, and looks great doing it.

Cons:
Quite a low damage champion.
After initial burst, damage is slow.
Not a great turret destroyer.

The build I recommend here is what works for me, and it works very well. The most of the items are very standard builds for tanks and Sejuani in particular, but the Twin Shadows is something I never see on her. This item is excellent, giving her tankiness, a little extra damage, a massive 30 free movement speed and an active that is helpful for chasing people through the jungle. I couldn't recommend this item on Sejuani more. Many people like to build more AP items on Sejuani for damage, but this is a waste of her real strengths, which lie in being able to soak up massive amounts of damage without dying at all, and constantly securing wins in team fights and kills in ganks for your team.

Sejuani clears camps like there's no tomorrow. Start at blue buff and go smiteless, using 2 potions here. Then smite the wight and clear wolves, using your other 3 potions. Bounce down to wraiths and use your second smite on the red buff. Now go back up to wolves if everything is going well in lane and continue to clear or start to gank. Sejuani's ganks pre-six are really solid, and after she has her ult they become pretty much guaranteed kills. Continue to clear/gank as you do and do dragon until the laning phase is over.

In team fights, you want to have enough tankiness and movement speed to engage with the best accuracy possible, and survive. Don't concentrate on doing damage with Sejuani, and don't expect a lot of it, but do expect a won team fight. As soon as you see a clear path to a priority target Arctic Assault into them, activate Flail of the Northern Winds and use your Glacial Prison. Once the stun wears off use Permafrost and it's pretty much GG. If you need to engage from further away use Glacial Prison first and walk in, then use the same combo as above. If the team fight starts looking ugly, Sejuani can run like no other, so Arctic Assault over a few walls and flash if you need to, and defend your base. You'd be surprised how many team fights I've turned from obvious losses to wins in no time just with a well placed ult from Sejuani and the follow up 70% slow to allow my team to pick up an ace.