If I'm not mistaken, valyrian steel was forged with dragonfire in the books (probably the same backstory for it on the show). That's why it's so rare. The origin of dragonglass is a bit more ambiguous, but the belief among the commoners is that it comes from dragons while educated people think it's just obsidian that has been forged by volcanoes. The latter explanation never made much sense to me though; why would it have magic properties if it was just volcanic rock? Also, there were huge quantities of dragonglass on Dragonstone island, which was the seat of house Targaryen. Coincidence much?
