Brace yourself! White Walkers are coming!
"I've seen how the land stretches much farther than any man knows, into the Land of Always Winter where the White Walkers came from during the Long Night."―Jon Snow
We now know that the Children of the Forest created the White Walkers. In one episode, Bran Stark and Bloodraven travelled back to an unknown time, likely many millennia ago. They arrived at a cluster of stones, arranged in a spiral pattern with a weirwood tree in the centre. A group of the Children were talking amongst themselves, while a shirtless man was tied to the trunk of the weirwood.
Leaf, one of the Children who is helping Bran and Meera in the present day, was standing and then walked towards the tied-up man. She stabbed him with a dagger or sharp rock of some kind. The man screamed and then fell silent. His eyes turned ice blue, and then Bran woke up. He immediately confronted Leaf.
"It was you," he said. "You made the White Walkers."
"We were at war. They were slaughtering us; they were cutting down our sacred trees," Leaf replied. "We needed to defend ourselves."
"From who?" Bran asked.
"From you," Leaf said. "From man."
It turns out that the Children created the White Walkers to protect themselves from the First Men. But, it didn’t exactly work the way that they wanted it to. Now the White Walkers live in the Lands of Always Winter which are vast, frozen tundra and plains, covered in snow, beyond the Wall. They possess magical powers related to ice and cold. Their arrival is usually accompanied by blizzards and the dropping of temperatures. They can also freeze anything they touch. Don’t they have any weaknesses? Of course, they do: “Kill it with fire!” Also, weapons made of dragonglass or Valyrian steel can kill these human-like ice creatures instantly. A swift blow of Valyrian steel shatters White Walkers on the spot. Care for a reminder? Here you go, courtesy of Jon Snow and his Valyrian sword, Longclaw. He killed a White Walker while he was fighting in the battle of Hardhome.