Ice Arrow

The Ice Arrows are (you guessed it) arrows infused with the power of ice. They deplete Link's magic though, so you have to be sparing with them.

In Ocarina of Time, Link can get the Ice Arrow from the Gerudo Training Ground, a challenging maze-type area in the Gerudo Fortress. In Ocarina they're pretty useless, so if you go to all the trouble to get it, convert it into something more useful - a bottle!

In Majora's Mask the Ice Arrow is an absolute necessity.

In The Wind Waker, you must get the arrows to proceed further in the game. Link gains the arrows in the larger island of Mother and Child Isles (which can only be acessed with the Ballad of Gales) from the Fairy Queen, along with the Fire Arrows.