Why do White Walkers spare members of the Night's Watch such as Will from the pilot episode and Samwell Tarly, although they don't seem like a merciful species?
Will's case: In the first episode, he managed to escape. He just ran. Fast. In the books, although it is not the same character, he also escapes.
Samwell Tarly: In the scene you refer to, it did not clearly appear that there was more than one White Walker. So once Samwell
kills him with the obsidian blade
they are safe. They run "just in case", in my opinion. Spoiler alert: I describe what happens in the books and what will probably happen in the remaining episodes:
In the books, Samwell and Vere are surrounded by Others (books equivalent to White Walkers) and they are rescued by "Coldhands", a mysterious character.
EDIT after evilsoup comment about the events at the very end of the second season:
At the very end of the second season, Sam is surrounded by a bunch of wights, and the White Walker which looks at him doesn't kill him. It does not happen this way in the books. I can't explain this part. Maybe the White Walker looked at the rock which Sam was hiding behind, and not directly at Sam.
Craster: He is safe because he is a "godful man" (these are his words) : he gives them his own baby boys to satisfy them. It appears giving them a baby boy once in a while is enough to ensure your safety.
Some say that the Others are really trying to protect the world from the destruction that the fire breathing dragons will bring this world and someone said that George Martin hinted at that by saying, they are misunderstood creatures. That is why they spared some characters.
Of course that doesn't seem to stay true to the books events where they killed a lot of people. But if it is true, the white walkers would need to kill their most devoted enemy (the nights watch) to be able to help the rest of the world undistracted.
YOu forget that in the first episode of the third series, a deadman tries to kill Sam Tarly... In the first episode, the whites let the ranger go (as enemies did) so that there would be someone to tell of whats coming..(to strike fear in their enemies).. I suspect the whitewalkers and dragons will battle (as have NEVER done in the histories an dlore of westeros) ..
The whites are smart and honourable..thats all...they sense that Samwell is no real threat (projects cowardess) so they leave him... That makes them VERY interesting...more honourable than a dragon could ever be (i.e.killing little girls)..