These are magical or legendary creatures appearing or mentioned in Game of Thrones.
Legendary creatures are things such as "Grumpkins and Snarks" or even Krakens, which have not been proven to actually exist but which exist in the folklore and mythology of Westeros (Krakens are somewhat on the fence, as some believe they exist but are rarely encountered; thus they are treated as a "legendary animal" unless the books ever confirm their existence).
Magical creatures are beings which may "exist" but which are created by magic, not as self-sustaining, living and breathing animals. For example, the "Shadow" creatures created by Melisandre are "magical".
Dragons do not count as "magic" creatures because they are well-known to exist and are living, breathing animals - albeit they apparently have some sort of tie to magic in the world. Basically, following RPG rules, a "magical creature" is a "summoned creature", while Dragons are actual animals.
For animals in general (Direwolves, Ravens, etc.), see Category: Animals.