The Vale itself doesn't play a central role in Game of Thrones, but it does have a connection to House Stark via Catelyn's sister Lysa and Littlefinger's creepy obsession with Sansa. The knights of the Vale also save Jon Snow's butt in the Battle of the Bastards in season six.
Notable locations:
- The Eyrie: Currently ruled by House Arryn (but unofficially ruled by Petyr Baelish, because Robin Arryn doesn't really have a clue what he's doing). Catelyn brings Tyrion Lannister to the Vale way back in season one after capturing him on suspicion of plotting to have Bran killed. It's also where Littlefinger brings Sansa after helping her escape King's Landing when Joffrey is assassinated in season four. Finally, this is where Littlefinger pushes Lysa Arryn to her death through the moon door.