A Clash of Kings
While the Night's Watch is encamped at the Fist of the First Men during the great ranging, Ghost finds a bundle of black wool buried in a mound of soft earth behind a fallen tree. The direwolf informs Jon Snow. A length of rope binds together the bundle, which is perhaps two feet across. It contains the horn and dragonglass weapons, including a dozen knives, leaf-shaped spearheads, and numerous arrowheads. Jon is unable to get any sound from the warhorn, so he gives it to Samwell Tarly, reasoning that Sam likes old things. He suggests to Sam that he make a drinking horn out of it to celebrate his part in mission beyond the Wall, Jon also gives Sam a spearhead and a dozen arrowheads, passing the rest out among his other friends for luck.
A Feast For Crows
While staying at an inn in Braavos with Maester Aemon, Dareon, and Gilly, Sam still has the horn. On the Cinnamon Wind, Sam gives away almost all that they own in order to pay Quhuru Mo for their passage south from Braavos to Oldtown. By the time the dealing is done Sam is down to boots, blacks, smallclothes, and the broken horn Jon had found on the Fist of the First Men.
Some readers suspect that this broken, modest horn may actually be the legendary Horn of Winter, also known as the Horn of Joramun, and they surmise that it may have been broken purposely, or even warded, so that it cannot be blown in error.