The Red Woman

Melisandre, the red priest of Asshai, introduces us to the first of many schism religions in Song of Ice and Fire. After it's been established that the Northerners hold the Old Gods and the Seven Kingdoms appropriately pray to the Seven, the first chapter of book 2 brings in Melisandre and her Lord of Light, R'hllor. The Greyjoys would later introduce The Drowned God, as well.

The difference is, the only God that seems to do anything is R'hllor, as we see time and time again. His priests see visions in the fires, set their foes ablaze, and breathe life back into the dead. Melisandre is at the heart of a few of the more memorable occurrences in the series.