From A Wiki of Ice and Fire
Needle is a small, slender sword that Jon Snow had made by Mikken for Arya Stark before he went away to the Night's Watch. The sword is suitable to Arya's slight build and the style of fencing known as "water dancing" used by the bravos of Braavos. Arya named it Needle as an ironic reference to her hatred of needlework. She sometimes refers to her use of the sword as needlework. Eventually, Needle also comes to represent her previous life at Winterfell and symbolizes the happy childhood with her family, which she still yearns for. 
A Game of Thrones
A Clash of Kings
While travelling North, Arya continually practices at swordplay. Arya lost the sword to Polliver when she was captured by Gregor Clegane's men in the Riverlands. This theft earns Arya's fierce enmity, thus she adds him to her prayer kill list.
A Storm of Swords
A Feast for Crows
When Arya had to give up all her possessions to train to become a servant of the Many-Faced God she could not bring herself to give up Needle, so she hid the sword in a crack in the stairs leading to the House of Black and White.
|“||Needle was Robb and Bran and Rickon, her mother and her father, even Sansa. Needle was Winterfell's grey walls, and the laughter of its people. Needle was the summer snows, Old Nan's stories, the heart tree with its red leaves and scary face, the warm earthy smell of the glass gardens, the sound of the north wind rattling the shutters of her room. Needle was Jon Snow's smile. He used to muss my hair and call me 'little sister' , she remembered, and suddenly there were tears in her eyes.||”|
— Arya's thoughts on Needle
|“||Stick 'em with the pointy end. ||”|
— Jon Snow's advice after giving Needle to Arya