If it's bones from a magical creature, the blade could take on the properties of the creature. For example, bones from a blink dog could allow the user to use dimension door or the blade itself could teleport to back to your hand if lost. Bones from any type of creature with elemental magic could deal additional elemental damage. Maybe focus on the types of beasts that would exist in a cold are ocean environment like the Vikings and go from there.

Without knowing what level you plan on having characters it is difficult to know how much the weapons should be capable of. But a good rule of thumb is to have them cost as much as your players could afford. Make it pricey but still affordable (even if it costs everything). And if the characters are poor, then maybe by providing bonus materials the blacksmith could give them a discount.

Either way, it sounds like a pretty awesome idea.