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 Melisandre) 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:
They are inhumanely strong and can freeze things by their very touch.
They accept gifts of newborn boys. What they do with these babies is unknown. In return, it is assumed that the gifter is safe from their attacks. In the TV show however:
White Walkers are seen to apparently transform one of Craster's baby boys into a new White Walker.
As of S05E08 we know they are vulnerable to:
blades made of obsidian (also called Dragon glass) and Valyrian steel (dragon steel)
They have the ability to raise the dead to become Wights (not new White Walkers) who are undead zombie like creatures that follow the commands of the White Walkers and can only be killed with fire.
A bit further in the books (minor spoiler ahead):
Sam researches ancient books about the White Walkers and discovers that they are also vulnerable to something called dragonsteel. It's nature is unknown, but it is theorized to be Valyrian steel.
In what may (or may not) be a deviation from the books, the sixth season episode "The Door" on the TV show revealed:
That the White Walkers were originally created by the Children of the Forest as a weapon to be used against the invading First Men, but the Children somehow lost control of them.
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:
According to legend, the Others first appeared approximately 8,000 years before War of Conquest, during a winter that lasted a generation and a period of darkness known as the Long Night. Eventually they were defeated, supposedly by the Night's Watch and The Wall may have been raised as a defense against them.
The Others' first appearance in the saga is in the Prologue of the first book, killing two rangers of the Night's Watch.
While not much, this is currently all the known information we have on the White Walkers.
I have read up to A Storm of Swords: Steel and Snow and what I understood was when people die in the snow and freeze they turn into White Walkers, because two of the crows who left the Wall for ranging were found frozen. When they are brought back to the tower, they attack Lord Mormont and Jon kills them by burning them. Also, the wildlings burn everyone who they kill or anyone who dies.