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Contains mild spoilers.
But what could it be?
Well, for one, the fact that Maisie is the one seen with it in the promo shots suggests she'll carry it at some point as Arya. If Littlefinger is the one who currently possesses it, it's a good indication that Arya will head back to Winterfell – and potentially even use the dagger against Littlefinger.
The dagger is also made of Valyrian steel, which we know can kill White Walkers – AND it appears the handle is made of dragonglass, judging by the text of the book Sam's reading and his brief comment about the Targaryens using dragonglass as decoration on their weapons. As dragonglass is also deadly to White Walkers, it means this is essentially a double-edged blade that can be used against them. Which seems pretty important.