Throwing knives are an unpopular weapon used in the Land of Ooo. They can be used by throwing them at a target. The training on how to use them takes a very long time. Finn, Jake, and the Ice King are the only people who have trained and know how to use them.
Finn uses them in the episode "The Chamber of Frozen Blades," when he was fighting against the Ice King, trying to "save a princess."
These are usually made out of stainless steel, but since the knives found in the chamber of frozen blades belonged to the Ice King, the blade was made of ice, making them less effective.