riding an ice spider. © Marc Simonetti
The last hero
escapes ice spiders.
Art by Roman Papsuev
Giant ice spiders are the mounts of Others in some legends.
A Game of Thrones
Old Nan tells Bran about the long night, which includes mention of the Others hunting the last hero atop spiders as large as hounds.
A Storm of Swords
During the grim march back to Craster's Keep after the fight at the Fist, Samwell Tarly recalls the tales of giant ice spiders which scared him when he was young.
A Feast For Crows
Sam mentions reading about giant ice spiders to Jon Snow. 
||The horn blew thrice long, three long blasts means Others. The white walkers of the wood, the cold shadows, the monsters of the tales that made him squeak and tremble as a boy, riding their giant ice-spiders, hungry for blood ...
- thoughts of Samwell Tarly