Read my guide. Screencap in intro will show that it works.

So, Sejuani. The newest addition to Riot's lineup of OP new champs to suck our pockets dry. Remember when Volibear used to make people QQ on forum? Yeah she makes Volibear her Voli*****.

Now, I've heard some ***** and moan on the forum about her, but let me tell you, when all is said and done and you get the results in this screencap, who gives a f*** about the cries?

So, shall we start?

Pros:

Is a tank. Tanks win games.
Her basic attack is a soft CC.
W scales with health.
Built-in escape with Q.
Her mass stun ult wins team fights.
Last AND least, great farmer.

Cons:

Can be mana hungry mid game.
Not a whole lot of damage output till mid-late game.
Is fat. This means easier target for skill shots.

Runes

Greater Marks of Insight

Your main dmg output is in the form of your skills and of Sunfire Aegis's passive. These helps a little in wearing down the enemies.

Greater Seal of Resilience and Greater Glyph of Warding

Standard tank's seals and glyphs.

Greater Quintessence of Swiftness

Sejuani picked the wrong mount. That boar is too f***ing slow. You need this to chase and escape and to not look like a fool in lane.

Masteries

You need CDR to be useful in team fights, so pick up Sorcery and Enlightenment .

As a support-tank you'll be picking up sh*tloads of assists. Make use of that with Mercenary .

The rest are just a sensible tank's masteries.

Starting items

Start with Regrowth Pendant and a Health Potion for lane sustainability. Recall when you can get Boots.

Core items

Warmog: Health is important for you. It's your survivability AND your dmg output. With atma's later in the game, your health will add dmg to your basic attacks as well as your W by 2% of max health. Which is why you build this 1st, right after you get boots of speed.

Merc Treads: For MR and CC reduction. Be on the safe side and pick this up. Ninja's Tabi has been nerfed to oblivion so it's no longer useful. If you're laning against heavy CC's or nukers, build this before starting warmog.

Sunfire: Health, dmg/sec aura, and armor. Great survivability, both health gain and passive sync with your W to farm punish those pesky melee dps.

FoN: Insane health regen that benefits from your health stacking. Move speed to help chase. MR to save your boar's hide from massive nukeries. Take it.

Atmas: Okey now you have 3.5k - 3.9k health depending on your level. Now you have another form of damage output. And some nice armor to top it off. Take this before FoN if the enemy's nukers aren't fed enough to pose a significant threat.

Last item

Warmog: Same reason for this as the 1st warmog you get: health, damage, regen.

Frozen Heart: If ranged carries like Caitlyn or Miss Fortune is giving you a hard time. Attack speed-slow aura and CDR will make their job that much harder.

Tmail: When crit*****s like Tryndamere and Gangplank is owning your team. Actually, in that case, pick this up ASAP whenever you can.

Randuins: Health, regen, slow, armor.

or : For ***** and giggles. No but seriously, when your team is absolutely owning and your chance of dying is minimal, pick either of these up for extra dps.