Energy Materia is required for pegasi to use frost and lightning based weather abilities.
Unicorns utilizing the science talent can infuse Frozen Essence Drops at the top of the Alien Torch located in The Heartlands. Science level 11 or higher is required to be able to interact with the torch, however.
It should be noted that you should only carry as many Frozen Essence Drops as you want to turn into Energy Materia, as interacting with the torch to infuse them into energy will consume every single Frozen Essence Drop available in your inventory, much like with Arcane and Vapor Materia. Every 2 Frozen Essence Drops is worth 1 Energy Materia.