Icewine, or Eiswein, originated in Franconia, Germany in 1794. The grapes are kept on the vine untill the first frost, and are picked before they thaw. They are normally made with Vidal and Riesling grapes, and are much sweeter and more concentrated than other wines. Because of this, they are typically a dessert wine.
The most respected Icewine today is grown in the Niagara region of Ontario, Canada. Due to the strict regulations on how the grapes are grown, harvested and processed, in addition to weather fluctuations, the entire harvest can be ruined quite easily. This leads to extremely high prices.
Sources:
http://www.ontariograpes.com/icewine.html
http://wine.about.com/library/types/bl_icewine.htm