There have been white walkers in two instances of the show up to this point. The little girl was established as the wight in the pilot and the other was the sword wielding monster that cut off the rangers head and flung it. Unless a wight (which have been characterized in the show as a bit more single minded) was trying to make a point about impending doom. as it were that scene was a divergence from GoT as waymar never fights an other, an other not appearing in that scene would have been confusing for the viewers as they were mentioned more times than they have appeared (In S1). Second time was during crasters offering in S2 although they were a bit shadowy.