Dragonglass

"The Maesters call it "obsidian"."

- Samwell Tarly

Dragonglass is a common name in Westeros for the substance known as obsidian, a form of volcanic glass. They are notable for being thus far seen to be the only substance capable of killing White Walkers.

Large amounts of dragonglass can be found on Dragonstone island.

Season 1
Doreah tells Viserys she's seen a man from Asshai with a dagger of real dragonglass.

Season 2
Grenn, Dolorous Edd, and Samwell Tarly find a cache of dragonglass daggers buried in the snow on the Fist of the First Men. Sam identifies the material, but is unsure why it would have been left on the Fist by a ranger of the Night's Watch. Edd suggests that whoever it was, they wanted someone else to find the weapons.

Season 3
After escaping Craster's Keep with Gilly, Sam shows her a piece of the dragonglass he had found. She asks what it does, and Sam responds that he isn't sure it does anything. He does remark how beautiful it is however.

Sam later uses his dagger to slay a White Walker that was after Gilly's baby.

In the books
In the A Song of Ice and Fire novels, dragonglass is found in quantity on Dragonstone and in the ruins of Valyria, where it was used to make different kinds of ornaments, including candles. It is also an export from Asshai. According to legend, the Children of the Forest also made use of the substance.

Dragonglass is sharper than steel, but also more brittle. For this reason it does not make good swords because they might shatter, but smaller daggers are more sturdy and therefore more common. They are also very effective as arrowheads.

In the books, it was Jon Snow who found the buried bundle. In it there were a dozen knives, leaf-shaped spearheads, numerous arrowheads, and a broken warhorn.