The Lord of Light (R'hllor)
"The night is dark and full of terrors" isn't just Melisandre's favorite saying; it's a religous utterance by followers of R'hllor, the Lord of Light. We've already seen some of the extent of this deity's powers — remember the demon shadow baby, and the fact that Melisandre is actually several centuries old? But during season six, we're sure to experience even more of the magic R'hllor has in store — perhaps through the resurrection of Jon Snow.
Where the religion is based: Essos
What followers believe: Light and darkness are intertwined and cannot exist without one another; nonbelievers and false gods should be destroyed.
Major religious themes: light vs. dark, fire vs. shadow, sacrifice by burning
Who follows this religion: Melisandre, most of Stannis Baratheon's army (or what's left of it), and Red Priests like Beric Dondarrion scattered across the world