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.

Picture of the ice arrow, obtainable from the Gerudo Training Grounds.

The Legend of Zelda: Ocarina of Time
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 of Time they're pretty useless, so if you go to all the trouble to get it, convert it into something more useful - a bottle!

The Legend of Zelda: Majora's Mask
In Majora's Mask the Ice Arrow is an absolute necessity. They are found in Great Bay Temple and are used to freeze water to make ice paths, freeze waterfalls in Great Bay Temple and to trap enemies in blocks of ice

The Legend of Zelda: The Wind Waker
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.