The Horn of Winter was a legendary artifact. According to a song, Joramun, the King-Beyond-the-Wall, blew the horn to wake giants from their sleep. Another legend claims that the horn can destroy the Wall.
Recent events: -Jon finds an old, unusable horn hidden within the pouch of dragonstone weapons he finds at the fist of the first men. Some theorists believe this is Joramun's horn. Jon gives the horn to Sam, saying it doesn't work, but Sam likes old things.