They found a store of dragon glass back at the fist of the first men. Didn't know what it was used for.
Then Sam kills a white walker with it and thus, it's the only thing they know of that can harm a WW until this episode when it seem valyrian steel can kill them too. And they've got a lot more dragon glass than valyrian steel. Jon's got the only vs sword at the wall. And the only other 3 pieces of weaponry we've seen are Jamie/Brienne's sword, Joff's sword, and Little finger's dagger.

Edit:
Fire works on the wights, but not the white walkers.