"Icicle of death" is a phrase that might seem to belong to one of the many idiotic contrived death scenes from the anencephalic Final Destination movies, but it's actually a nickname scientists give to a "brinicle," or frozen brine icicle that forms in certain special conditions. A BBC crew recently filmed one being formed, which you can read about here.
Seawater contains dissolved mineral salts, which is why we refer to it as "salty." It's also sometimes called "brine." Because many of these chemicals don't freeze at the same temperature of the water around them, the sea ice will be more like a sponge than a solid sheet, with tiny channels through which the brine flows.
The air above the water may be very cold, but water itself can only get down to around 32º Fahrenheit (0º Celsius) before it becomes ice and stops cooling. That temperature may vary a little depending on what other chemicals are in the water but not much. Since the water is relatively "hot" compared to the air, its heat will act like other heat and rise, carrying salty water through the small channels in the spongy ice. At the surface, the cold air freezes it -- but it's heavier than the water it's in so it sinks back down towards the sea floor. And it's super-cooled compared to the less salty seawater through which is sinks, so it freezes that seawater when the two come in contact, and that makes the plume or "brinicle (brine icicle)" formation descend from the ice. It continues to channel freezing water through the brinicle tube, which then freezes in whatever direction it flows along the sea floor.
The video at the link shows the ice overcoming starfish and sea urchins, which don't move fast enough to get out of the way. They are, apparently, too stupid to come in out of the freezing rain, and we're back to the Final Destination movies again, it seems.
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