From A Wiki of Ice and Fire
Dragonglass is volcanic glass, or obsidian. children of the forest make weapons out of dragonglass, including daggers, blades and arrowheads.  During the Age of Heroes it was also recorded by the Night's Watch that the children of the forest gave the black brothers a hundred obsidian daggers every year.  Dragonglass weapons are one of the few weaknesses of the Others. An Other that is pierced by an obsidian blade dies almost instantaneously. Obsidian blades are sharper than steel but far more brittle.  The Valyrians called obsidian frozen fire and made use of obsidian to make their glass candles. 
The smallfolk like to say that dragonglass is made by dragons while Maesters say it comes from the fires of the earth.  There are large deposits of dragonglass on Dragonstone and it is an important export from Asshai. Mors Umber wears a chunk of dragonglass in place of a lost eye.
According to GRRM, in the A Song of Ice and Fire series he has given obsidian,
|“||“Magical characteristics that of course real obsidian doesn't necessarily have. After all, we live in a world that has no magic. My world does have magic, so it's a little bit different. ||”|
A Game of Thrones
In his turret in Winterfell Maester Luwin pours a handful of shiny black arrowheads out of a green jar and shows them to Bran, Rickon and Osha. Bran picks one up and sees that it is made of glass. Osha names it dragonglass.
Master Luwin tells them that it is obsidian, the children worked no metal and hunted with it, and in place of swords they carried blades of obsidian. Osha remarks that they still do. Bran holds the arrowhead up close. The black glass is slick and shiny. He thinks it beautiful and asks Maester Luwin if he can keep one. 
A Clash of Kings
At the Fist of the First Men Jon Snow discovers a cache of knives, leaf-shaped spearheads, and numerous arrowheads made of obsidian. Dragonglass, he thinks to himself. Beneath the dragonglass is an old warhorn, and when Jon shakes the dirt from inside it, a stream of arrowheads falls out.
In Qarth, as the rumor of living dragons spreads through the east seekers come to learn if the tale is true and tokens are offered to Daenerys, the Mother of Dragons. Amoung other offerings, trader captains bring Dany dragonglass out of Asshai. The dragonglass offering Daenerys sells, to gather the wealth she ends up wasting on the Pureborn. 
A Storm of Swords
Samwell Tarly and the few survivors from the Fist are running for their lives south in the middle of night with a heavy snow falling. Upon an undead horse, a lone Other appears from the swirling snow. In a blind panic Sam slays the Other by stabbing it with the dragonglass dagger given to him by Jon Snow.  The dagger causes the Other to shrink and puddle, dissolving away in twenty heartbeats. Only the dagger remains,
|“||wreathed in steam as if it were alive and sweating.||”|
Grenn goes to scoop up the dragonglass dagger but has to fling it down again as it is so cold.
At Craster's Keep Samwell discusses obsidian with the Old Bear, he tells Sam that if it kills the Others as Sam claims he wants more of it. Sam remarks that the children of the forest would know where to find obsidian but Lord Commander Mormont says to Sam that the children are all dead.
At the Wall King Stannis Baratheon sends word to his castellan Ser Rolland Storm on Dragonstone to begin mining obsidian. He fears he will not hold his seat much longer but hopes that the Lord of Light shall grant them enough frozen fire to arm themselves against the Others before the Dragonstone falls. 
A Feast For Crows
A Dance With Dragons
|“||“Obsidian. Forged in the fires of the gods, far below the earth. The children of the forest hunted with that, thousands of years ago. The children worked no metal . . . In place of swords, they carried blades of obsidian.” ||”|
|“||“Finally only the dragonglass dagger remained, wreathed in steam as if it were alive and sweating. Grenn bent to scoop it up and flung it down again at once. “Mother, that’s cold.” ||”|
|“||“They are vulnerable to obsidian.” ||”|
|“||“Dragonglass. Frozen fire, in the tongue of old Valyria. Small wonder it is anathema to these cold children of the Other.” ||”|
References and Notes
- ↑ A Game of Thrones, Chapter 66, Bran
- ↑ A Feast for Crows, Chapter 5, Samwell.
- ↑ 3.0 3.1 A Clash of Kings, Chapter 43, Jon.
- ↑ 4.0 4.1 A Feast for Crows, Chapter 45, Samwell.
- ↑ A Storm of Swords, Chapter 33, Samwell, p 373.
- ↑ "Interview with the Dragon" Copyright © 2003 Robert Shaw.
- ↑ 7.0 7.1 A Game of Thrones, Chapter 66, Bran, p 737.
- ↑ A Clash of Kings, Chapter 40, Daenerys.
- ↑ A Clash of Kings, Chapter 63, Daenerys
- ↑ 10.0 10.1 A Storm of Swords, Chapter 18, Samwell.
- ↑ 11.0 11.1 A Storm of Swords, Chapter 78, Samwell.
- ↑ A Feast for Crows, Chapter 35, Samwell.
- ↑ 13.0 13.1 A Dance with Dragons, Chapter 11, Daenerys.