1. She has great engage and sticking power post 3. Her QWAAE combo gives solid lockdown pretty early on, and with W pretty quickly having a pretty low cool down you can stick onto your targets after the engage. Once you have her ulti, that's where things get really have because then you have the option to create long range picks or create even more lockdown for your head on engages.

2. She really durable. Her durabilty is kinda wacky when you think about it. Her give her bonus armor and mr at the start of the game which scales throughout the game plus whatever you get from items. Also she can't be slowed for the first 3 seconds of combat.

3. Also as a little bonus, her e gives you a pretty solid way of assisting the jungler take objecitves, especially late game where if you have 2 or more melee champs your basically doing 300 damage a second off just that ability.

1. Support Quest options: I take either Solstice Sleigh or Celestial opposition. Sleigh if I think my team needs the extra MS to follow up on engage plus a little healing never hurt anyone. Celestial if I'm really expecting to tank particularly burst damage, 35% damage reduction for 2 seconds with Sejuani's passive equals taking very little damgage in those first couple seconds of the fight. Generally I think Celestial is the more useful option.

2. Experimental Hexplate: This item is so good on Sejuani and I don't think many people are talking about it (or builiding it). Stats are pretty decent AD isn't super helpful but it never hurt anyone, Attack speed synergizes really well with Sejuani because of her E, the movement speed after ultimate is also nice for picks, and health is Sejuani's bread and butter. But the really big reason is the 30 Ultimate haste which on it's own takes her ultimate from 114/96.5/79 to 90/76.5/62.5. All while not making the tank sacrifice building malignance would. Seriously, this item makes sejuani support work really well.

3. Heartsteel Stacking health on a champion who's inherintly tanky and does more damage scaling with health, need i say more? I build Heartsteel over Warmogs because most of the time I'm the primary engage and can get a lot of stacks really fast while getting beefy and providing bonus damage for my team. The health regen on warmogs is awesome but I'm rarely leaving fights midway to heal up so all the extra health counts more to me.

4. Zeke's Convergence: This item is awesome. Health, Armor, MR, Haste: all the things a tank could want, and since it's cheap it helps mitigate the cost of hexplate and heartsteel. Not to mention the synergy with sej's passive. At level 11 your passive goes from providing 29 AR and MR to giving 63 AR and MR, more than doubling. Through on top of that the bonus damage and slow around you after cast, and you have a crazy utility item.

These 3 items should be built every game.

5. Situational Items: These items really depend on what the enemy comp is looking like. Basically any tank item could work but the 3 I generally am picking between are:
Locket of the Iron Solari: Basically same stats as Zeke's plus team shielding, best for general use.
Thornmail: For when you to build grievous and the team has 2 or more AD damage dealers.
Kaenic Rookern: Build this if there are multiple magic threats on the team and you are the sole tank.
Honorable mention Malignance: For when you really are trying to ult 2+ times in every team fight late game.