I just rewatched ‘Valar Morghulis’ (season 2 ending) (I am up to date to the tv series, haven’t read the books though) and I had the same question I had when I first watched it, only now I know about http://scifi.stackexchange.com/ :).
Who blows the horn three times announcing the White Walkers? They are at the Fist of the First Men, beyond the wall, so it could’t have been the Night’s Watch. One thought I had it was that that there could have been a sentinel, but again they are in wildlings’ territory and I think they could’t have a sentinel there (not safe) and also they are unaware of the wildlings whereabouts (that’s why the party went beyond the wall), which indicates they don’t have sentinels beyond the wall.
And I was under the impression that the White Walkers army was marching on the Wall. If so, why didn’t they reached the wall yet (in the tv series)? Even if they weren’t marching on the Wall, Sam did see them, yet the Night’s Watch doesn’t seem to be very concern with them.