The Blue Winter Rose is a flower that grows in the glass gardens of Winterfell. It's pale blue the color of frost. Also, it's connected to the legend of Bael the Bard.
Bael the Bard climbed the Wall.
Took the Kingsroad and entered Winterfell.
He made himself known as Sygerrik of Skagos, a singer.
He sang until midnight for the Lord's pleasure.
Impressed by his skills, Lord Brandon Stark asked him what rewarded he wanted.
Bael asked for the most beautiful flower in Winterfell's gardens.
Blue winter roses were just blooming.
Brandon Stark agreed to offer him one.
The following morning, the virgin daughter of the lord had disappeared. In her bed was a Blue Winter Rose.
Source: A wiki of Ice and Fire.