Blender user cyaNn has been nice enough to show us how to create an ice material, and even gives us an extensive list of other material possibilities through the use of varying indices of refraction. What's even better is that it's not hard to re-create since cyaNn has laid out the settings panel by panel.
You can find the tutorial (in pdf form) here. Remember to right click and save as!
You can take a look at the final result in the pdf or take a look at the inset which was done (with some lighting help) from Olivier Saraja.