In the opening scene of AGOT and in the Prologue/Chapter 1 we meet three characters north of the wall who run into White Walkers on a ranging mission. Two of the three characters are killed. The third flees (this character is Gared in the books) and manages to make it south of the wall to Winterfell.

At Winterfell Gared in executed by Lord Eddard Stark for deserting his post. But if Gared had just returned to Castle Black and told the Lord Commander what he saw wouldn't he be alive (or until everyone one goes to the fist of the first men)?

Gared's two companions were killed so if he had fled to Castle Black he wouldn't be a deserter would he, rather he would have reported what occurred? He had to have known he would have been killed once you was caught south of the wall. Gared was an old range with a lot of experience if he had turned to Castle Black instead of going south could he have convinced Lord Commander that the White Walkers were real and that it would be dangers to go North?