White Walkers are, in the world of GRRM, divided into several distinct categories. These are, specifically, White Walkers (WW), wights, and what I shall refer to as "fell beasties" of all sorts, specifically reanimated creatures
* White Walkers/Others themselves. As put in an interview with Martin, "They are strange, beautiful...think, oh...the Sidhe made of ice, something like that...a different sort of life...inhuman, elegant, dangerous." As per other sources, "Martin also confirmed that the White Walkers are not 'dead', just an inhuman kind of life."
So, in other words, WWs themselves occupy a leadership position within any "Others" warband. They are lithe and sinuous, but also inseparably linked to things cold and malevolent. They may be magic users and are adept in combat, but other than that, little is known. Based on these observations, here are a few potential models to use with regards to the field of battle.
Privateer Press has an few excellent model that would work from their Legion of Everblight range of Hordes.
While I would normally prefer these guys to have less clothing on, the figure in the middle looks particularly suitable for a White Walker captain.
As well as Irdil of the Silent Arrow:
All in all, not a terribly bad selection for White Walkers, especially since I imagine most skirmish-level warbands wouldn't need more than one or two (or perhaps three in the event of a massed battle).
More to come in Part II: The Wights. Stay tuned!