Obsidian is volcanic glass, also known as dragonglass. Children of the forest make weapons out of dragonglass, including daggers and arrowheads. Dragonglass weapons are one of the few weaknesses of the Others. An Other that Samwell Tarly attacks by an obsidian blade dies almost instantaneously.
The Valyrians also made use of obsidian to make their glass candles Or Valyrian candles.