Yeah, the Horn of Winter. I think that Sam found it at the Fist of the First Men in the show back in like season 2 or something (it was Jon and Ghost in the books if I remember correctly). He also found the dragonglass that he uses to kill the first White Walker buried with the horn and a Night’s Watch cloak.
Edit: now that I think about it, it might have actually just been some war horn that they found. The real Horn of Winter was never actually found in the books as far as we know.