There are several religions practiced in the world of Game of Thrones. The overwhelming majority of Westeros follows the Faith of the Seven, and this is the dominant religion in the Riverlands where Steel & Stone is focused. In the North (including all of the Crannogmen) many still follow the Old Gods, while in the Iron Islands, the faithful tend to favor the Drowned God.
The Faith of the Seven
Most people in Westeros follow the Faith of the Seven.
The holy symbol of The Seven is a seven-pointed star, and the faith's chief holy text is also titled The Seven-Pointed Star, divided into seven books, one for each of the Seven. A church to the Seven is called a Sept, and has icons of the seven gods on display to receive offerings (the Stranger is not worshiped by any but the Silent Sisters or those giving devotion to each of the Seven in turn). Their clergy are called Septons (in the case of men) and Septas (in the case of women), and the faith is governed ultimately by the High Septon, with the assistance of the council of the Most Devout.
The Father: represents judgment, his images carries scales and is prayed to for justice.
The Mother: represents motherhood and nurturing, she is prayed to for fertility or compassion.
The Warrior: represents strength and courage, he is prayed to for victory.
The Maiden: represents innocence and purity, she is prayed to for virtue.
The Smith: represents craft and industry, he is usually prayed to when there is work to be done.
The Crone: represents wisdom, she carries a lantern and is sought out for guidance.
The Stranger: represents death and the unknown. Worshipers rarely want the Stranger's attention, thus he is not often worshiped (except by heretics).
Weddings are typically performed by a septon, assuming that those being wed are not followers of a different faith, of course. They are generally conducted in a sept, between the altars of the father and the mother. The ceremony involves the exchanging of cloaks, in the case of nobles decorated with the arms of the bride's and groom's houses.
The oaths and rites of knighthood are all bound up in the Faith of the Seven, with knights swearing an oath in Their name at the time of their knighting. Particularly pious men will sit vigil overnight in a Sept before their knighting and, after being knighted, will be anointed with the seven holy oils in the sign of the star on their brow by a Septon. For this reason, there are very few knights in areas of Westeros where the Seven is not the chief religion, such as the North.
In the Riverlands, nobles are often buried in a funeral ship, pushed out to river, and lit aflame by arrows fired by the next of kin. Less affluent families often bury their dead in graveyards beneath stone slabs (in the case of wealthier smallfolk), or under piled stones to prevent frequent rains bringing the bodies back up. The old River Kings built carved stone sepulchers, which can still be seen in some ruins.
Duels/Trial by Combat
Anyone can pray to the Seven. Many choose to do it in a Sept, or when led by a Septon/Septa (hereafter referred to as a Septa because its slightly shorter to type), but there are two major advantages to praying with a Septa: counsel and blessing. Septas may advise on specific issues or questions and interpret the judgement of the Seven for one who wishes it, and they may bestow blessings.
However faithful a believer is, if they wear the star of the Seven around their necks or stitched onto their surcoats, they can still only pray without a Septa to bless them. Septas are seen by most in this world to be channels of divine grace, and their ascetic lifestyle and exemplary behavior gives them a reputation for holiness (less so in the case of fat, wealthy, or flagrantly immoral septas).
The simplest blessings are simply a prayer, spoken on behalf of the recipient, by a septa, to their patron God or Gods. Whether the blessing makes a specific request (May the Warrior grant that you return safely from this battle) or a general benediction (May the Warrior grant you courage and strength) as the Septa chooses.
The most complex blessings are rituals involving recitation of prayers and material elements, such as the ritual of knighthood, in which the subject of the blessing is given a prayer to each of the Seven Gods, and is anointed with holy oils on his brow in the shape of the seven pointed star, one point with each prayer.
Westerosi seek blessings at every major life event: births, marriages, funerals, sickness, danger, etc. As in the books, marriages between nobles involve each of the intended wearing an ornate cloak of their family, and the groom draping the bride in his family colors. Among commoners, weddings keep the cloak symbolism to reflect the bride coming under the groom's care (a fancy wedding cloak is often hung on the wall as a memento by wealthier merchant families, while more practical peasants simply wear them as usual afterward).
For births, as many villages have no permanent Sept, and depend on the passing of mendicant septas to pass through periodically, children born and couples to be wedded will often wait for a Septa's visit to name the newborn in the eyes of the Seven, or formalize the wedding, respectively. As a result, the longer it has been since a Septa passed through, the more requests upon their time a Septa will have when visiting a town. This can make travel times for the clergy very slow.
Septons & Septas
Septons and septas are the male and female priests of the Faith, known sometimes as 'godsworn'. They give up both their surnames and any claim they might have had to land or title upon joining the Faith. Many live in communities, known as septries for men, and motherhouses for women. Others are assigned to septs in various towns and villages across the kingdoms, or in the homes of high nobles. Some septas also serve as governesses to the children of nobles. Others wander the kingdoms, preaching and begging as they go.
Septons and septas may be sworn to the worship of one of the Seven, and focus most particularly on their teachings and tenets, or they may simply be dedicated to the seven as a whole. There are a variety of different orders which focus on different aspects of worship, with different goals and vows, some of which are joined by septons and septas and some of which are considered slightly separate.
- Silent Sisters are women sworn to the service of the Stranger. They take vows of chastity and silence, and they tend to the dead, preparing them for internment. They are sometimes called 'Wives of the Stranger' and go about clothed in grey with their faces veiled but for their eyes. They are not considered septas, though they are part of the Faith.
- Begging brothers are those who choose to wander. Clad most often in brown, they are also sometimes called 'sparrows'. They go about with a small metal bowl around their neck, and live off the charity of those they meet, preaching here and there along their travels.
- Brown brothers are collections of septons who live together in a septry, often a self-sustaining community.
- Septons sworn to the service of the Smith and members of His order wear small metal hammers around their necks.
- There are several other orders of septas, known by the colors worn by their members, namely white septas, blue septas, and grey septas.
Poverty: They dress in simple greys, with the white wimple and under-robes for Septas, and the grey robes over white undertunics for Septons. They wear pendants of the Seven Pointed star with a crystal in it, and practical shoes, but allow themselves no greater ornaments. Wealth belongs to the Sept, not the individual, and most Septs are very spartan, with the statues of the Gods, and any depictions of the seven pointed star the only items allowed great decoration. Septas sometimes violate this vow by keeping private wealth. Patrons, whether noble or common, are expected to care for the needs of a Sept.
Chastity: whatever their prior lives, septas are expected to live chastely, as are septons, though as in other walks of life there is something of a double-standard, with the breaking of this vow by a septon not punished as harshly as if the breaker is a septa.
Obedience: This is part of the reason septons and septas forgo their family names, to symbolize their distance from their former lives and to show their pure devotion to the Seven, instead. While nobles are the rightful rulers, a septa is to obey the dictates of the Gods, even if it means bringing secular punishment down on themselves. However, most septs these days know how to bend with whichever direction the political wind blows (10 years before the books, while discontent with the excesses of the clergy are widespread, there is no reforming movement to speak of at this point). Twisting this vow is also how the Targaryen kings managed to forbid the clergy ever bearing arms, so septons and septas may not carry weapons.
The Old Gods
The worship of nature spirits, this was the dominant religion before the conquest of Westeros millenia ago by the Andals, who brought the Seven with them. Weirwood trees carved with faces are sacred to the Old Gods, which is why groves of those trees are so rare in Westeros now (outside of the North). Not much of their religious rituals survive, apart from oaths taken before a weirwood to be most highly significant. There are no weirwoods left on the Cape of Eagles, the nearest Godswood (a grove containing at least one weirwood) is at Riverrun.
The Drowned God / The Storm God
The men of the Iron Islands have their own religion. It involves praying to the Drowned God, who fights an eternal war against the Storm God. The Storm God seeks to destroy all mankind. Thus, they turn to the Drowned God, because 'What is dead can never die'. Priests of the Drowned God literally drown themselves when they join the clergy, before another priest resuscitates them. Priests braid seaweed into their hair, and carry driftwood walking sticks. Yeah, the Ironborn are kinda screwy. Merchants are looked down on in this society because those too weak to take what they want do not have the favor of the Drowned God.