Hello,
my name is NaeBliss and this is my first guide, I am currently unranked, but I have been playing a lot of sejuani so I hope to share my Sejuani build for laning. I have been able to outplay Zed in mid lane with this build, so I really do hope Sejuani does not get skipped and be used more often.

The good strategy in NOT to push. Allow the minions to crop at your turret. You lose some farm, but ancient coin makes up the lost gold. It reduces the risk of being ganked early and falling behind.
With refillable potion, you save gold by not buying potions every time that you go back, so you can get your items just as fast if not faster than your opponent, and with not pushing, all xp are sill gained with minion deaths, so hang back and kill minions as the opportunity allows without taking risk.
Use your W & E together to frost up waves of minions and then frost explode them. Mid to late game it makes Sejuani a wave clearer like few others.

I use Ghost & Flash.
Ghost allows Sejuani to chase down or run away without minions obstructing her. Early game it helps with faster returning to lane after going back.
Flash is great for disengage or chase down, but if you want to, you replace flash with teleport as Sejuani's Q can replace flash......and you can use it more frequently ( just beware of running low on mana if you do this)

The biggest pro for Sejuani is the Q. It allows you to stun an opponent, or charge away from danger. You can even charge through walls and it saves your flash, so you have a very good disengage or engage depending on the situation.
Sejuani is a great ambusher and engager for team fights, especially with her R. If it is used properly, you can catch 2-5 of the opposing team and freeze them, even if some are not frozen, they are slowed down and should be easy targets for your team mates (and yes, you can throw it through walls)

The cons will differ from person to person, but the main con is the weakness of sejuani in the beginning. Sejuani is very item dependent, so she only gets going mid game. The ancient coin upgraded to final eye of oasis should help countering this and supply vision with the rechargeble stealth wards.

Ok, this is my version of Sejuani. Try it if you want. Feedback on how it performs would be great.
Suggestions would also be great.