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, there are a few references to giant ice spiders, employed by the Others to hunt down their victims. Similarly to the show, Old Nan has told Bran how the Others chased the last hero during the Long Night, stalking him with packs of pale white spiders big as hounds.
During the retreat from the battle of the Fist of the First Men, Sam recalls tales of the Others riding giant ice spiders, which scared him when he was young.
In the beggining of the fourth novel (and in the parallel chapter of the fifth novel), Sam tells Jon the information he gathered from old annals about the Others. He briefly mentions "Some accounts speak of giant ice spiders too. I don't know what those are", without specifying what use the Others have for them. Jon does not inquire about the ice spiders, because he is more interested to know how the Others can be destroyed.
As of the fifth novel, ice spiders have not yet appeared.
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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