Within this world, there exists many religions and faiths practiced by the people of Westeros.
Religions
The Old Gods
Nameless deities of stream, forest and stone. Previously worshipped by the Children of the Forest and the First Men across Westeros, the religion was replaced almost entirely by The Faith of the Seven with the arrival of the Andals. Only those living in the North and Beyond the Wall continue to uphold the religion. Those worshipping the Old Gods do so within godswoods, which contain a heart tree. Heart trees are considered sacred and have faces carved on them. Prayer and marriage both take place in front of the heart tree.
The Faith of the Seven
South of the Neck, the dominant religion of the Seven Kingdoms is the Faith of the Seven. The Faith worships "the Seven Who Are One", a single deity with seven aspects for a face: The Father, The Mother, The Warrior, The Smith, The Maid, The Crone and The Stranger.
The Faith of the Seven was briefly replaced by R'hllor as the main religion of Westeros by Stannis I Baratheon, before it was reinstated as the official religion by Davos I Baratheon at the end of the Red Stag War. During this time, Davos overthrew and killed any R'hllor sympathizing families installed by Stannis Baratheon, after forming a Holy Army composed of the Warrior's Sons, Faith Militant and Holy Hundred. Davos also made attempts to purge The North of The Old Gods, but this invasion was quickly stopped at The Neck.
Although rare, some Northern lords do practice this religion.
The Drowned God
A sea deity worshipped by the Ironborn within the Iron Islands. An ancient religion dating back to before the Andal invasion. Andal invaders attempting to enforce the religion of The Faith failed.
The Ironborn believe that they were created by the Drowned God in his likeness, to reap, reave and make their names known in fire, blood and song. They also believe that the Drowned God is opposed by the Storm God, a malignant deity who hates men and unleashes cruel winds, freezing rains and thunder and lightning upon them. According to them, the Drowned God and Storm God are locked in eternal conflict.
Whilst not common, some members of the religion, including Alannys Greyjoy, would drown their enemies if they followed the Faith.
R'hllor
Also known as the Lord of Light, the Heart of Fire and the God of Flame and Shadow. More commonly known as the red god in Westeros, R'hllor is the god of heat, life and light, and said to be locked in an eternal conflict with the Great Other, the god of ice and death. Fire is associated with life, and shadows are considered creations of the Lord of Light.
Prayer is conducted before a nightfire. Red priests, worshippers of R'hllor, are known to see visions in the flames of these nightfires.
Stannis I Baratheon made R'hllor the main religion of Westeros following his victory in the War of the Five Kings. He also destroyed the Great Sept of Baelor and sacrificed any traitorous families who still followed the Seven. However, when King Edric I Baratheon was killed by his half-brother Cyral Lighthart (one of two bastard brothers born from Mellisandre and Stannis), this led to the Red Stag War. Davos Baratheon, Edric's brother, defeated the Lighthart brothers and reinstated the Faith as the main religion of Westeros, before killing any R'hllor supporting families. The war and its aftermath left almost everyone distrusting of R'hllor.
Gylen Hightower, the catalyst of the War of the False King, was a follower of R'hllor. His failed attempt at sacrificing Ashara Lannister to the red god has only grown further distaste for the religion.