Inspired by a tourney build used for AP mid sejuani, i have taken what i felt the damaging aspects of that build where and added some support/ survivability items. This build has helped me become not only a potent tank, but able to deal large ammounts of burst damage to the enemy team.

Marks of insight
Since Sejuani has on the large part magic damage, mitigating any early resistances to this damage is important to do max damage to creeps, and when ganking

Seal of resilience
Not alot of defences at level 1, this helps sejuani stay alive in the jungle and take less damage when ganking

Glyph of shielding
I take these for the late game play mainly, the magic resist given by these isnt great early on but care when ganking mid will help get the most of these early

Quintessence of potency
Maximising early damage to jungle creeps is important, without this slight increase in damage ganks are slower and you do less damage throughout

Whereas others may have taken some masteries in the support tree to head towards runic affinity, i opted for added health regen, AP and creep damage early. These i feel help with my early jungle clear and with the regen and the rest of the tanky masteries, allow me to stay away from base longer thus maximising my gold earned.

The single core item that is key to this build working early on, is haunting guise. The amount of damage this item gives sejuani early is massive by comparison to building gold generating items. This allows for more successful kills when ganking, and is still a very useful item late game for the magic pen it provides.
Warmogs is another item that works well on sejuani, because your W scales relatively well with health, stacking warmogs allows you to remain fairly tanky and still dish out a large ammount of damage.
Taking an Aegis of the legion for the nice ammount of magic resist and armour it gives and helps the rest of the team, very nice item.
Sorcerers shoes i take for yet more magic penetration early on giving you 40 magic pen in total which is enough for the squishies to take the brunt of your damage. Why not take merc treads ? I generally dont think you need the merc treads, you are the tank and if they are using cc on you then the carries are free to do whatever they want.
Guardians gives you the extra damage mitigation again, giving you more armour and magic resist you need to withstand alot of damage and the rebirth can allow you to escape or give you time to get cooldowns up and burst enemies down.

AT level one you want to be taking northern winds, this is your main source of damage as well as being your lowest cooldown. For most damage potential max this first. At level two my preference is arctic assault. This allows you to charge a pack of jungle creeps applying the frost stacks to all the enemies and allowing your northern winds to do double damage to them, although the most useful for closing a gap this should be maxed last.
At level three i take permafrost, allowing you to keep frost stacks on creeps that bit longer, and more importantly giving gank potential from the slow. If more crowd control is required i would take a few ranks in this early, however i would normally max this after northern winds.
AT level 6 comes the ultimate glacial prison. In my opinion one of the best initiates in the game, allowing a well placed ultimate to lock all 5 people on the opposing team in place, applying frost to them and allowing your q>w>e combo to do maximum damage, or to allow for a nice escape. As with many aoe cc ultimates, this can change the course of a game dramaticly and sejuanis ganking potential becomes rediculous with this up.

Summoner spells i always take flash and smite for jungling. Flash is sometimes key for getting around the support and allowing you to ultimate the carry as your primary target, causing maximum stun duration. This is also very useful when Arctic assault is on cooldown and can be used to gap close or to make a crafty escape.

Sejuani is a fun to play champion, in need of a slight rework in my opinion in terms of cooldown reduction. However this build allows you to do large ammounts of damage while remaining tanky.