- "Every time I use it, it'll be like cutting off Ned Stark's head all over again."
- ―Joffrey Baratheon
Widow's Wail is the second Valyrian steel blade made from Ice, the blade of House Stark. It is gifted by Tywin Lannister as a wedding gift to his grandson King Joffrey Baratheon at the breakfast prior to the wedding ceremony. Its sister blade is Oathkeeper.
A member of the Kingsguard presents the sword in its scabbard for the king's approval while Tywin announces that it is one of only two swords of Valyrian steel in King's Landing. Overjoyed, Joffrey quickly draws the blade and begins to toy with it, leading Grand Maester Pycelle to warn him of Valyrian steel's famous edge. Joffrey responds with a swift hack at his copy of Maester Kaeth's Lives of Four Kings (which Tyrion had just presented him with a few moments earlier), but it takes him several more swipes to completely destroy it. He then asks the other guests present at the breakfast to think of a name for the blade. After a few suggestions, he quickly settles on the name "Widow's Wail", noting that it reminded him of Ned Stark's beheading.
When the ceremonial pigeon pie is brought out at the wedding feast, Joffrey uses Widow's Wail to slice the crust open so the birds can fly out. His cut was so savage that some of the pigeons inside are decapitated. 
While naturally, Widow's Wail would have been passed down to Tommen Baratheon, we never see him wield it in the show. Unseen since Joffrey's funeral, it's assumed to reside somewhere within the Red Keep.
In the books
Widow's Wail is described as having a cherry red hue in the steel under strong light. The hilt also featured a red leather grip for the handle, with golden lion paws for the crossguard, whereas the show counterpart is more modeled around silver stags with a ruby set in the middle, symbolizing the Lannister-Baratheon alliance.
Joffrey never used Widow's Wail to cut open the pigeon pie at his wedding feast, because Margaery insisted that it would be inappropriate to use it for such a task. Joffrey orders Ser Ilyn Payne to give him his greatsword to cut it instead. Sansa, remembering that the headsman used her father Eddard's own blade Ice to decapitate him, notes that he must have discarded it. Tyrion, however, puts two and two together, and realizes that Ice was melted down to make Widow's Wail. He then regrets never returning the blade to Robb when he demanded it back as part of his peace terms (which occurred at the beginning of Season 2 in the TV series).
According to George R.R. Martin, Widow's Wail was passed down to his younger brother Tommen when he ascended to the throne - but while Tommen technically owns the sword, he is still too young to wield it (being only eight years old when Joffrey dies in the books).
In the books, it is mentioned that Joffrey named his new sword "Widow's Wail" by picking it out from several names the crowd suggested, but it does not list what the other names were. In this episode (which George R.R. Martin himself wrote anyway), some alternate names are heard, including "Stormbringer", "Terminus", and "Wolf's Bane". "Stormbringer" is apparently a reference the sword of the same name wielded by the main character in Michael Moorcock's Elric Saga (as well as Joffrey's believed Baratheon descent), while "Terminus" is apparently a reference to Gene Wolfe's The Book of the New Sun novel series.