Thats a White Walker, not a wight. The wights are the undead raised by the walkers and are killed by fire (why they burn their dead up there), the only thing that had killed a white walker before was dragonglass. Valyrian Steel is meant to have been forged by dragon fire and the ability to make more has been lost, the only thing that can be done now is to melt down current Valyrian steel swords and re-shape them like Tywin did with Ice. The DVDs come with a whole bunch of extras with actors narrating some of the background lore that show doesn't get to, they're all over youtube if you have a look, here's one on Valyrian Steel: