In Game of Thrones there are some creatures who are found north of the wall called White Walkers. Who are these White Walkers and what do they actually do to their prey or victims? Are they evil spirits (as they move very fast)?
White Walkers (or Others as they are also called in the books) are magical beings that live in the freezing lands north of the Wall. The last time they were seen by humanity was 8000 years before the Conquest. What little is known of them is mixed up with legends and half forgotten stories. Most people still believe that they are a myth and are just scary stories used to frighten little children.
They are (for unknown reasons) antagonistic to humanity, and brought a long period of darkness when they first attacked that legend calls The Long Night. Legend has it that they were finally defeated by the Night's Watch, and the Wall was then raised to stop any further attacks (not to stop Wildlings as most people think). Prophecies of their return and their defeat exist both in Westeros and the East. The followers of R'hllor the Lord of Light (like Milisandre) believe that the White Walkers are a manifestation of The Great Other, who is the chief antagonist of their god.
So far (in the TV series) this is what is known of them:
A bit further in the books (minor spoiler ahead):
In terms of the series itself there really hasn't been much explained about these White Walkers other than their appearence of being undead Wights, immune to normal blades, vulnerable to Dragon Glass (Obsidian), that their touch can turn their victims into more White Walkers, and that they seem to be the ultimate threat to the realm and the main reason that The Wall was built.
The huge point behind the White Walkers in the series as well is to give the audience an idea of how dire the situation of the entire Realm is, rather than have the conflict between kings is and how insignificant of who is sitting on the Iron Throne when the Walkers come.
As far as a book explanation, the best I can give you is a quick summary:
While not much, this is currently all the known information we have on the White Walkers.