Sejuani is naturally tanky and building health on her is great. Early game Sejuani is ok but she is amazing late game. With her ult she is great for ganking and for teamfights. Her natural CC is also great for teamfights.

On a jungler it is almost never looked down upon if you get one of the spirit items, they are a great early game item. Other than that you rush a Warmog's. The reason you do this is because Sejuani is great with health, much like any champion. You also get Lyandry's because the damage and health are great on Sejuani. Her Northern Winds always proc Lyandry's so the damage is immense and since you have so much health you will be able to stick to them longer because you can take more damage. The next item is Rylai's, the reason you get this is because Sejuani's frost passive is only there so that she can use her E. It is a pathetic slow that won't do anything, unlike the rest of her moves which are great. Rylai's gives you the slow, health and AP to take and deal a lot of damage. Because Sejuani's main source of damage is her W it is a good idea to build Sunfire Cape because of the extra damage. Sejuani is slowing the enemy making her able to be closer and she is tanky so she can stay longer, she can deal a lot of damage with these item and take a lot of damage. Depending on the enemy team you should choose your boots according to that, Mercury Treads or Ninja Tabi, but you should always get Homeguard or Captain because if you are pushed into your base you can take a ton of damage and go back into your fountain and get all the health back in a second then return and in teamfights with all of your CC potential you can keep your team caught up if they do possible get away.

In a teamfights Sejuani is the person dealing damage to everyone. She presses her W and starts basic attacking and then presses E for a slow. Her Q is used to initate and disingage fights and her ult is used to help in teamfights or get away.