In Season 1 of Game of Thrones we only ever see the shadowy figure of the White Walkers as they are running and when one confronts Will and Gared.
When I watched the prologue back, at around 5:41 in this clip, you do see a very quick glimpse of a White Walkers face as it kills Ser Waymar Royce.
However, in the later seasons the White Walkers have changed and now look like the following.
Of course even later on the White Walkers have gone shopping and now have some armour.
Why this change in the White Walker physical appearance?