Right before the Night's Watch left the house in Game of Thrones S02E03, Sam gave Gilly something, but I'm not entirely sure what it was. It was something his mom gave to him.
What did he give to Gilly?
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He gave Gilly a thimble that once belonged to his mother. It's the only thing of his mother's that he currently possesses. When Gilly refuses to take it since it's such a precious item, Sam insists that she's only keeping it safe until he returns from the ranging.