I agree, the books in particular and the show to some extent mention that the Wall isn't just a physical barrier - there's magic, too. But there are now several instances of wights south of the wall. Maybe it's just the white walkers who can't cross the barrier. That would actually make some sense. But then I'm not sure how a frosty wight dragon fixes that. Whatever, the show will do what it wants and I'm just going to mostly enjoy the ride and not try to overthink it too much. (The teleportation thing is still pissing me off a little, tho).
I also agree with Rusty that Arya's deadpan archery story was super lame, as was the failure to bring a horse.