Nymeria

Nymeria was the warrior-queen who led the Rhoynar refugees to Dorne a thousand years ago.

Background
The Rhoynar once lived around the region of the later Free Cities, in city-states along the Rhoyne River. About a thousand years ago (perhaps 700 years before the Targaryen Conquest), the Rhoynar were on the verge of being conquered by the expanding power of the Valyrian Freehold and its dragons. Defeated, Nymeria rallied the survivors and fled Essos altogether, sailing in a refugee fleet said to include ten thousand ships. After much wandering she eventually led her people to Dorne, at the southeastern tip of Westeros. After landing, Nymeria had all of the Rhoynar's ships burned, so that none would have second thoughts about staying.

At the time, Dorne was divided into many petty kingdoms and had never been unified. Impressed by Nymeria, local king Mors Martell married her and united his forces with his own. Together, they conquered and unified all of Dorne for the first time, reigning from the Martell's seat at Sunspear.

The Dornish revere Nymeria as the founder of their realm, and her descendants in House Martell continued to rule after her ever since. As a result, "Nymeria" actually became a common name in Dorne. Oberyn Martell - himself a direct descendant of Nymeria, warrior-queen of the Rhoynar - named one of his own bastard daughters Nymeria Sand. Nymeria's fame also spread across Westeros: even young Arya Stark, fascinated with legends about past warrior-queens, chose to name her dirwolf "Nymeria".

In the books
In the A Song of Ice and Fire novels, Nymeria was the leader of the Rhoynar refugees and is seen as the founder of unified Dorne.

A minor detail in the books is that after Nymeria married Mors Martell, the formal name of their descendants' House actually became "House Nymeros Martell" (Nymeros meaning "of Nymeria"), combining their two names. The TV series has not mentioned this, though it is rarely mentioned in the books either.

Nymeria is remembered as a warrior-queen, though she actually was not a warrior herself, in the sense of carrying and wielding weapons. She was considered a warrior for being a cunning military strategist and commander of armies (comparable to how in his later years Tywin Lannister was considered a dangerous war-leader, without actually wielding his own sword anymore). That being said, many of the Rhoynar refugees in her army were female, because Rhoyar women were taught to fought alongside their men (and most of the men had died fighting the Valyrians).