The Great Icy Lake is a vast water stripe separating Frozen Reaches land in two.
Background[]
Connor had to cross it to continue on his journey higher, to the Realm of the Sun. Although it is shallow and could be possibly crossed by walking over it, its waters are so could it would cost much health. Connor learned from Queen Freesa that her Crystal Dragon could help to cross it safe, if he could but find her lost Crystal Scepter. Eventually he did find it, and the dragon helped him across (several times).
Behind the scenes[]
This lake doesn't appear to have a name. "Great Icy Lake" comes from a description of the lake found in the official hintbook.