First this is how I play Sejuani, I played around 20-30 games with her already to find out the most ******ed build that actually works with her.

For runes I take Armor penetration marks, Armor Seals, Magic resist Glyphs and Movement speed quintessences. The reason behind that is that you will have to rely on masteries and runes for your early tankyness. The movement speed quintessences are a must have and make the difference between a good gank and a failed one.

Grab everything that has defensive stats plus bladed armor for faster jungle speed.

You can switch Improved Recall with Summoner's insight if you feel like it, I prefer improved recall(you recall early in the jungle route).

You also grab movement speed masteries, they synergies very well with the quintessences.

You start with Armor + 5 pots. Then you grab lvl1 boots you should already be at 400 movement speed. Then you grab lantern followed by Boots of mobility.(this build is all about getting everywhere on the map fast) Then a Zeal(Sejuani lacks of Attackspeed, help on those lantern's procs) Phage -> Frozen mallet, gives you a good boost on your W damage, will stack with your passive's frost and boost your survivability. Turn that Zeal into a Phantom dancer. note: you could go for a Trinity force, but I find the crit and Movement speed of the Phantom dancer better when you get a hand on your next item : Atma's Impaler. With only 1 item spot left I go with a Banshee's veil which gives you magic resist and more HP thus more AD. If this is a long turtle game, I would consider switching the Lantern for a Stark's fervor.

R>E>Q>W.

While putting 1 point in W at lvl 1.

Flash and Smite.

Ult + permafrost + flash can save you from anything (almost).

And smite well... You'll need it you jungle.

This build revolve around lot's of ganks and actually being able to deal damage, your opponents will be surprised. You get over 500movement speed with a complete build, Good survivability and enormous Utility for your team.