Dragonglass is the Westeros name for obsidian, a form of volcanic glass. Along with Valyrian steel, it's one of the only substances known to kill wights and White Walkers.
However, some fans, like Reddit user The_Others_Take_Ya, believe Dragonglass comes from dragon poop. Since the fact or fiction behind this idea doesn't really affect the upshot of the series, there's no harm in imagining that the intense heat and pressure of a dragon's digestive system could form a robust silica capable of thwarting the undead. Plus, our inner 5-year-old finds it hilarious to imagine the Unsullied marching into battle with poop in their hands.