Ice spiders are legendary creatures spoken of in some accounts and tales about the White Walkers. They are supposedly the size of hounds and sometimes ridden by the White Walkers.
Old Nan recounts to Bran 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.
Behind the scenes
Despite their setup in earlier seasons, the ice-spiders ultimately did not appear in the final war against the White Walkers in Season 8. In a post-episode interview with Entertainment Weekly, showrunner D.B. Weiss was directly asked about the lack of ice-spiders, to which he gave this flippant response:
- "Big as hounds..." [sighs] "...Didn't we talk about that for 30 seconds? 'Ice spiders' sounds good. It would look good on a metal album cover. But once they start moving, what does an ice spider look like? Probably doesn't look great."
Keep in mind that, in the behind-the-scenes video's for Season 7's "Beyond the Wall", Benioff and Weiss discussed at length how they'd been pushing the special effects team for years to make a "zombie polar bear", which they kept resisting because of the exact same complaints about design and practicality. As for what an ice-spider looks like, there is already commissioned artwork for the A Song of Ice & Fire novels depicting them.
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 beginning 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. Sam and Jon do not dwell on the issue, because Jon 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 & 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.
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