Four Religions that fully impact the world and the way people react towards you. These Include: The Seven Faced God. The Lord of Light (R'hllor). The Drowned Gods. The Gods of the Old.
Your character's religion can be changed by talking to the man of faith for the respective religion.
If your character and the fief you own have different primary religion, they will slowly disapprove of you.
Your character's religion effects your recruitment capabilities
There are also specific religious troops which can be recruited based on your character's faith. Specifically, religious based troops can be recruited from the Temple of Light near Volantis if R'hllor for religion and Septs if Faith of the Seven for religion.
The Seven Faced God
The Seven Faced God, more commonly referred to as the faith of the seven, is the dominant religion in Westeros except for The Iron Islands and The North.
Members of the Faith worship the Seven Who Are One, a single deity with seven aspects or faces. For the less educated, however, this concept is often difficult to grasp, causing them to often believe that there are indeed seven different gods. Depending on their need, worshipers pray to specific faces of the Seven. The seven faces are:
The Father, also referred to as the Father Above, is depicted as a bearded man, with a stern and strong face. Judgement is said to belong to the Father. Additionally, he protects “his children”. He is often prayed to for justice, and the phrase “may the Father judge [him/her/them/you] justly” is often said among followers of the Seven. Additionally, one might pray to the Father asking him to defend someone in battle, the strength to seek justice, and the wisdom to recognize it.
The Mother, sometimes also called the Mother Above, is a loving and protective aspect of the Seven. She is often asked for mercy, and to keep loved ones safe. Offerings can be made to the Mother when a woman becomes pregnant, to praise the Mother for giving the gift of life.
The Warrior is always depicted with his sword, and protects followers of the Seven from their foes. The Warrior is often prayed to for courage, as the Septons teach. Most men make offerings to the Warrior before battle, while others might say a prayer. Additionally, people might beseech the Warrior for a favorable condition during battle, to watch over soldiers, give them strength, keep them safe, both in battle and outside of battle, and help warriors to victory. He might also be asked to bring peace to the souls of the slain and give comfort to those who are left behind. A Septon might ask the Warrior to lend his strength to the arm of the man whose cause is just during a trial by battle, The phrases “may the Warrior defend you” and “may the Warrior give strength to your sword arm” are frequently given.
The Smith, depicted with his hammer, is the mender of broken things who puts the world of men to right. Septons teach to pray to the Smith for strength, and sailors might make offerings to the Smith prior to launching a ship, as to keep their ships safe. Others might pray to the Warrior for protection. Followers of the Seven can show their devotion to the Smith by wearing a small iron hammer about their neck.
The Maid, also called the Maiden, is a beautiful, innocent looking young woman. People might pray to the Maiden to keep young women safe.
The Crone is an old, wizened and wise woman, whose statues often show her with a raised lamp in one hand. People pray to the Crone for wisdom and guidance.
The Stranger is neither male nor female, yet both at the same time. He is the outcast, the wanderer from far places, less and more than human, unknown and unknowable. His face is the face of death. He leads the newly deceased to the other world. Those who feel like outcasts might light a candle for the Stranger.
Specific religious based troops can be recruited from the Septs if your character's religion is Faith of the Seven. You gain a mixture of Begging Brothers, Septons, farmers, herders, slaves, and women villagers when recruiting from Septs.
Here is a link for the location of the Septs.
The Lord of Light (R'hllor)
The Lord of Light is the dominant religion in Essos.
The religion is based on a dualistic, Manichean view of the world: R'hllor, the god of light, heat, and life, and R'hllor's antithesis the Great Other, the god of ice and death. They are locked in an eternal struggle over the fate of the world; a struggle that, according the ancient prophecies from the books of Asshai, will only end when Azor Ahai, the messianic figure, returns wielding a flaming sword called Lightbringer, the Red Sword of Heroes, and raises dragons from stone.
R’hllor is also called the Lord of Light, the Heart of Fire, the God of Flame and Shadow. His nemesis, the Great Other, whose name may not be spoken, is known as the Lord of Darkness, the Soul of Ice, the God of Night and Terror.
The Lord of Light is worshiped primarily in Essos. R’hllor is worshiped in Asshai and red temples can be found in most of the Free Cities; In Lys, Braavos, Myr, Pentos, Tyrosh, Qohor, and Volantis. the city Selhorys, ruled by Volantis,contains a red temple as well. The red temple in Volantis is exceptionally large, said to be the greatest in all the world; According to Archmaester Gramyon it is about three times the size of the Great Sept of Baelor in King's Landing.
In Westeros, there are only relatively few followers of the Lord of Light.
Specific religious based troops can be recruited from the Temple of Light near Volantis if your character's religion is R'hllor. You gain a mixture of Red Worshipers, Red Priests, farmers, herders, slaves, and women villagers when recruiting from the Temple of Light.
Here is a link for the location of the Temple of Light.
The Drowned God
The Drowned god is worshiped exclusively in The Iron Islands on Westeros.
The faith of the Drowned God is unique to the Iron Islands. He is seen as the creator of the seas and father of the ironborn. The ironborn believe they come from the watery halls of the Drowned God. The Drowned God is said to have made the ironborn in his own likeness, to reave, rape, carve out kingdoms, make their names known in fire and blood and song and to hold dominion over all the waters of the earth.
The ironborn believe that the Drowned God is opposed by the Storm God. This malignant deity dwells in the sky and has hatred for men and all their works. The Storm God resides in a cloudy hall, and sends cruel winds, lashing rains, and the thunder and lightning down upon men. The Drowned God and the Storm God are said to have been at war against one another for "a thousand thousand years".
The ironborn believe that the Drowned God has fewer power the further removed from the sea they are. Even in strange lands where other gods are worshipped, some ironborn might believe that a large amount of men who have been drowned give the Drowned God strength in the area.
Most ironborn have naught but scorn for the Seven of the south and the old gods of the North.
The Old Gods
The Old Gods is the religion located in The North on Westeros.
The old gods are "based on animism and traditional Pagan beliefs of Wicca and various other Celtic systems and Norse systems", melted into one construct.
The free folk beyond the Wall believe that the gods are everywhere – in the rocks, streams, birds, and beasts – and that they take the deceased down into the earth and trees. The maesters teach that the weirwoods are sacred to the old gods. However, worshippers believe the old gods watch through the trees. It is said that the old gods only have power where the heart tree faces can see, and since the destruction of most of the heart trees in the south they have no power there.
It is said that the sigh of the wind and the rustle of leaves are the old gods speaking back to worshipers. According to Jojen Reed, the singers of the children believe that the weirwood trees are the gods, and that when they die, they become part of the godhood.
Worshippers of the old gods believe that no man can tell a lie in front of a heart tree, as the old gods know when men are telling a lie. Through the eyes of the weirwoods, the old gods judge the people in front of them. As such, an oath might be made in front of a weirwood tree, or with a hand placed in the mouth of the weirwood’s face. It is said that the children of the forest carved faces in the trees during the dawn, centuries before the coming of the First Men across the narrow sea. According to Maester Luwin, the faces were carved by the greenseers specifically, to keep watch on the woods. The First Men believed that the greenseers could see through the eyes of the weirwoods.
The old gods were worshiped by the children of the forest, and eventually by the First Men, sometime after signing the Pact. Following the arrival of the Andals, who brought with them their own religion, the old gods were no longer dominantly worshipped in the south of Westeros. Only few houses (e.g., House Blackwood) still do, while most of the noble houses follow the Faith of the Seven instead. In the north, however, the majority of the houses still worships the old gods. North of the Wall, the free folk continue to worship the old gods.
Other religions such as Mother Rhoyne and numerous minor regions are not included in AWoIaF.