Blue winter rose

"He rode past his wife and he lay a crown of winter roses in Lyanna's lap. Blue as frost."

- Petyr Baelish, describing how Rhaegar Targaryen give winter roses to Lyanna Stark

The Blue winter rose is a type of flower that grows in Westeros. It is said to be blue as frost.

Season 5
At the tomb of her aunt Lyanna Stark, Petyr Baelish recalls to Sansa Stark how Crown Prince Rhaegar Targaryen and Lyanna were present at the great Tourney of Harrenhal when he was a boy. Rhaegar won the final joust of the tournament, and the entire massive crowd cheered - only to suddenly drop dead silent as Rhaegar rode past his wife Elia Martell, and instead placed the victor's crown - made of blue winter roses - onto Lyanna's lap. Not long afterwards, Rhaegar ran off with Lyanna, sparking off Robert's Rebellion, leading to the deaths of thousands and the fall of the Targaryen dynasty.

In the books
In the A Song of Ice and Fire novels, Lyanna Stark was very fond of blue winter roses, and loved their scent. Eddard often thinks of them in association with Lyanna. Rhaegar apparently had the victor's crown at the Tourney of Harrenhal made of blue winter roses in advance (knowing he had a good chance of winning), specifically because he knew that Lyanna liked them. Even the statue of Lyanna at her tomb underneath Winterfell is holding a garland of blue winter roses.