Icy Spear is essentially just a much more powerful (and expensive) version of Ice Spike. It also comes with a swirl of frost behiind the projectile, and if cast in first-person, it briefly lightens the screen with a pale bluish white glow.
Like most Frost spells, it can be used to set off Frost Runes from a safe distance.
Icy Spears which hit enemies will continue to exist after they die until you leave the area. This makes the corpses easy to spot from a distance for looting. The only exceptions to this are enemies which dissolve or break apart when they die, such as ghosts, storm atronachs and those raised with most reanimation spells.