White Walkers are impervious to most man-made weapons; their ice-cold blades will shatter normal steel. There are only two things that can kill them:
dragonglass (aka obsidian, aka volcanic glass, aka solid fire)
and Valyrian steel.
In season two, Sam Tarly killed a White Walker with a dragonglass dagger. He found a cache of these weapons at the Fist of the First Men,
an ancient stronghold north of the Wall. Sam believes that the earliest men who lived in Westeros hid them there, as a backup stash to use against
White Walkers.
Dragonglass is simply another name for obsidian — volcanic glass of sorts. Aside from the set of daggers Sam found,
Valyrian Steel
Speaking of "Hardhome," Jon learned in that same episode that there's more to his sword than he thought. Longclaw, the sword gifted to him by former
Lord Commander Mormont, is made from Valyrian steel. This special type of metal is rare in Westeros because it can only be forged using magic.
The name is derived from Valyria — the ancient stronghold for a now-dead civilization in Essos.
When inquired about the same to Mr. G R R Martin, this is what he had to say :
"Valyrian steel is a fantasy metal. Which means it has magical characteristics, and magic plays a role in its forging."
As per the books, the method or the magical ways of creating/forging valyrian steel was lost during the Doom of valyria.
But, both in the books and in the show, it has been mentioned that some skilled smiths and maesters are capable of re-forging Valyrian Steel weapons, by melting down existing ones. ( Just like Tywin lannister hired the smiths to melt the Ned Starks valyrian steel greatsword "Ice", and made two new swords, named "Oathkeeper" and "widows wail" ).
Fan Speculation :
The connection between dragonglass and Valyrian steel is (you guessed
it) dragons.
Source : ezgif.com