I would use a 90 FPT (female pipe thread) by compression fitting (or build an equivalent from an elbow and a compression adapter), since it looks kinda cramped right there:
Then some 3/8" or 1/4" flexible copper or poly tubing to hook it in (1/4" is most commonly used with fridges).
Don't use a saddle valve: they are terrible (eg: What can I do about a saddle valve that won't turn on?). Instead, hook it into the source water with a tee and another compression fitting. You'll also need a valve: there are valves that have a compression fitting on one side, and sweat, pex, FPT, MPT, etc on the other; or you can go for a compression x compression valve that can go anywhere inline on the flex tubing):
Which is best depends on the layout and accessibility. It can be pretty handy to have a shut-off valve behind the fridge, so in case something leaks/breaks you don't have to run to the basement to hunt for a valve somewhere, but at the same time, I wouldn't personally hook up a line using a compression fitting without a valve immediately upstream. Nothing is wrong with two valves of course (other than cost).