The Lord Of Light's History
Melisandre, a Red Priestess of the Lord of Light, has installed herself at the court on Dragonstone and has won the trust of King Stannis Baratheon. Under her influence, Stannis has converted to the Lord of Light's religion. She believes that Stannis is the chosen servant of the Lord of Light who will destroy his enemies with the flaming sword Lightbringer. She also wins over many converts among Stannis' household, including Matthos Seaworth, though his father Ser Davos remains skeptical. Stannis has also taken the flaming heart, the symbol of the Lord of Light, as part of his personal sigil.
At a ceremony on the beach under the castle, Melisandre burns sacred religious artifacts from the Faith of the Seven, icon statues representing the Seven-faced God, despite Maester Cressen's objections. Later, he tries to poison Melisandre by tainting his own cup of wine and sharing it with her. As he lies dying, Melisandre reveals she is unaffected by the poison due to the protection of the Lord of Light.
Melisandre later seduces Stannis, promising to give him a son. She does become pregnant, but not with a human child. After the failed parley with Renly, she "gives birth" to a monstrous shadow creature in the caves below Renly's camp.
Quaithe is also a follower of the Red God, though she does not appear to be a Red Priestess.
Beric Dondarrion, along with the members of the Brotherhood Without Banners, has converted to the religion of the Lord of Light. Dondarrion has died six times since he was sent to fight Gregor Clegane, and each time, Thoros of Myr has brought him back by praying to the Lord of Light. Melisandre reveals that Thoros of Myr was first sent to the Seven Kingdoms to convert Robert Baratheon to the Lord of Light. Thoros admits he failed, rather unapologetically.
Selyse Baratheon, Stannis' wife and Queen, is revealed to be a fanatical follower of the Lord of Light, to the point of taking pride in her husband's infidelity with Melisandre as it was done in the service of their god.
Melisandre sacrifices three members of Stannis's household for their adamant refusal to tear down their "idols" of the Seven, Axell Florent among them. Despite being her brother, Queen Selyse watches the sacrifice with ecstatic delight, convinced she has seen their souls emerge from the bonfires and be taken by the Lord of Light. Later, Melisandre instructs Stannis's and Selyse's daughter, Shireen, on their religion, as Selyse believes the child is too stubborn and fears for her soul. Melisandre assures Shireen that her uncle Axell is in a better place now, though the child remains unconvinced, so the Red Woman tells her the Faith of the Seven and their Seven-Pointed Star is but a fable —there are only two gods, eternally at war: a god of light and love and joy, R'hllor, and a god of darkness, evil, and fear. Shireen asks whether there are seven heavens and seven hells, and Melisandre claims there is only one hell: the one they are living in right then and there, the life before death.
Melisandre sacrifices the princess Shireen Baratheon to the Lord of Light. She believes that sacrificing Shireen's life - which contains the power of a king's blood - will gain the Lord of Light's favor, who in return will aid them in their time of need by lifting the blizzard. This act initially seems to work in their favor as the very next day the temperature climbs and the snow melts enough so that Stannis's army can march on Winterfell as planned. However, it is discovered that half of his forces deserted in the night and Selyse, who had a change of heart when her daughter was being sacrificed and tried to stop it (unlike before when her brother was being sacrificed), has since hanged herself. Stunned by these developments, Melisandre flees back to Castle Black while Stannis presses on toward Winterfell where he is ultimately defeated in battle.
After returning to Castle Black, Melisandre drops her glamour in a moment of privacy, revealing her true form as a withered, ancient woman.  Later, at Ser Davos's urging, she prays for Jon Snow to be brought back to life. She is astonished to see that he is brought back, and tries to grill him about what he saw. Melisandre now believes that Jon, not Stannis, is the Prince That Was Promised.
Tyrion arranges a meeting with Kinvara, High Priestess of the Red Temple of Volantis and possibly one of the highest ranking of R'hllor's clerics. She firmly believes that Daenerys Targaryen is The Prince That Was Promised. Varys is more skeptical, being suspicious of any practitioners of magic, and points out that Melisandre had already declared Stannis Baratheon to be the Prince, only for him to be defeated twice.
Kinvara says that while the Lord of Light has a plan, the humans following him do occasionally make errors. Kinvara then assures Tyrion that she will send the preachers and priests best suited to the task at hand.
On the eve of the Battle of the Bastards, Jon asks Melisandre not to bring him back should he die again. Melisandre states that the Lord of Light is the one who brought him back and that she is just a conduit for his will. Thus, she makes it clear she wants to at least try, but will accept it if the Lord only wanted to bring Jon back the once.
Thoros proves R'hllor's power to Sandor Clegane when he witnesses a vision in flames, of The Wall, Eastwatch-by-the-Sea and the Wights. During the Wight Hunt, Sandor sees a mountain in the distance that he states is the same he saw within the flame. Eventually they find themselves being attacked by a wight snow bear and Thoros is injured. Though his wound is cauterized, he later dies during the frigid night while the group of men are seeking refuge in the center of a frozen lake; surrounded by the Night King's dead army of wight walkers. With Thoros now deceased, Beric is now aware that if he dies again, there will be no priest to bring him back to life.