Old Nan recounts to Bran Stark the legends about when the White Walkers first descended upon Westeros during the Long Night thousands of years ago, raising the dead as wights to kill the living, riding dead horses, and hunting with packs of giant "ice spiders" as big as hounds.
When Jon Snow treats with the surviving wildling chieftains at Hardhome, he shows them Dragonglass daggers and says that they can kill White Walkers. Karsi says they also have legends that dragonglass can kill the Walkers, at which Loboda scoffs that the legends also say that the White Walkers had giant ice spiders. Karsi bluntly chastises him, pointing out that with everything they've already seen - including dead corpses reanimated to attack the living - they can no longer doubt anything in the old legends about the White Walkers anymore.
In the books
In the A Song of Ice and Fire novels several accounts about the Others - the name used in the novels to refer to the White Walkers - speak of giant ice spiders employed by them to hunt down their victims. Other accounts mention the Others actually riding the spiders.
As of the fifth novel, ice spiders have not yet appeared. Within the narrative, Jon Snow and Samwell Tarly remark that they used to think White Walkers and wights were the stuff of legends, but now they know otherwise. Thus they speculate that the brief mentions of "giant ice spiders" in the old myths might be a real creature that the White Walkers will attack them with, though they also point out that they haven't seen any...yet.
The World of Ice and Fire also dodges the issue, with the maester who ostensibly wrote the book indicating that no one has any idea what an ice spider looks like, if they are even real spiders, or whether they actually existed. An image of a White Walker riding an ice spider is included in the book, although this should probably be taken in-universe as an artist's impression. This depiction essentially shows ice spiders as giant pure white tarantulas.
Animals and Plants of the Known World
Basilisks · Bears · Cats · Dogs · Direwolves · Dragons · Horses (Dornish sand steed) · Lions ·
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