Game of Thrones (2011-) often makes reference to the First Men, or the first human inhabitants of Westeros. Before them, there were the Children of the Forest, which are a non-human race that lived in Westeros. The First Men showed up and started destroying the homes and trees of the Children of the Forest (a possible reference to the colonization of America), and the two parties were at war for two thousand years until finally deciding to call a truce.
After two thousand years of truce, the White Walkers showed up from the extreme north, attacking both the humans and the Children of the Forest, killing everyone in their wake. Exactly how the White Walkers came to be is not established, nor why they suddenly chose to start murdering. The First Men and Children of the Forest allied together to push the White Walkers back north, and assisted Bran the Builder in constructing The Wall to keep them out of Westeros. It wasn't until the War of the Five Kings that word from the Wildlings, the people who live north of The Wall, began reporting seeing White Walkers again.
The bulk of the Game of Thrones story focuses on The War of the Five Kings. Every family and nation is involved in that struggle, leaving the Night's Watch the only true defenders against the White Walkers, who would be an incredible threat should they choose to attack again. The White Walkers' looming presence serves as a constant threat that is incredibly dangerous to all of mankind, but frequently forgotten as man instead focuses on battling one another.
Update: It is revealed in Season Six of Game of Thrones that the Children of the Forest actually created the White Walkers as a weapon of defense against the humans. They were born out of a regular human whose heart was stabbed by Dragon Glass. Inadvertently, the plan failed and these beings became a threat to the Children themselves.