Many people will say that Sejuani is a terrible champion and that she can't hold her own verse others, I have personally played her for a long while and I have dominated the other team. I have also been the sole reason for winning 4v5s while playing her.
I take pure tank runes with her. Her ability to initiate fights is undeniable, that being said she also needs to hold her own when she does. Taking the armor and magic resist helps her the entire game. The reason I take armor in both yellows and reds is because it helps her jungle early game a great deal. The health regen quin is really your choice. I personally enjoy the 8.1 extra regen so I don't have to constantly keep returning to base to heal.
As said above, I Sejuani's main concern is survivability. Taking 2-28 seems a bit odd but i wouldn't change it any other way. Tough Skin, Bladed Armor, and Butcher are extremely helpful to her in her early game jungling. Sej's build is a somewhat expensive build, the extra gold you get from mercenary adds up pretty quickly.
Health, Health, Health!!!!! Sej's W scales very well off of health. With my build you will be pretty close to 4k health. which adds 80 bonus damage to her W which at rank 5 already deals 44 dmg a second. So we are looking at 124 damage a second PLUS 50% for frost or permafrost for 184 damage a second! PLUS the 40 dmg a second from fire cape for a grand total of 224 AOE!!!! dmg a second! Also with your health being so high and purchasing a FON, you are looking at some crazy health regen. You will get plenty of armor and magic resist from your items to not worry about taking too much damage at one time. The Thornmail helps a great deal when you are the one initiating the fights and are the one being targeted off the bat.
There is no doubt about it that you want to take w off the bat, it provides you with great aoe damage to help you clear through the jung quickly. Second off i take your Q which allows you to jump into the creep spawns even over walls, this allows you to work with your W giving all creeps frost allowing northern winds to deal an additional 50% to all the creeps. I take a second point in northern winds to keep maximizing damage. Many people like to level 2 gank though which I do not recommend for this champion as it requires you to take permafrost very early on lowering your clearing times in the jung. For this reason i like to leave permafrost for level 4. Sejuani can clear the jungle fast enough to where this shouldn't be a problem and you can still get an early gank off. I start off wolves then blue than wraiths, onto golems (as soon as you finish golems your Smite should be off cd) then onto red and wraiths again giving you level 4 as fast as the solo laners.
Smite is a must for almost every jungle and has been explained to death in almost every guide. I do however recommend flash, Ignite, or teleport which may sound weird for a jungler. Sejuani's passive, E, and Ult all provide her with enough CC that you shouldn't need to take exhaust as it does not stack with your other slowing abilities. Flash is always a useful summoner spell as it provides you with both an escape and a gap closer. If you find that you don't know how to position yourself well enough for your Q to hit your targets you may want to consider flash. Ignite works great all game and provides you with some nice damage early game to seal the deal on those kills that might have gotten away. Now many of you are probably wondering why i would recommend teleport on a jungle. Teleport is a great summoner all game! It actually works very well with sejuani's Q. If one of your lanes is in trouble being able to teleport to a minion and then instantly jumping onto the enemies and slowing them is a great way to accomplish a gank or help defensively. Also it gives you the ability to teleport on the wards that should be by both top and bottom lanes so you can gank 2 lanes right after another. If the enemy team sees you top they feel safer to push a little bit more, but if you have teleport you can instantly gank them bottom from top.