Lady

"Lady didn't bite anyone! She's good!"

- Sansa Stark

Lady is one of six direwolf pups found by the children of House Stark. Lady is adopted and raised by Sansa Stark.

Season 1
Lady was adopted as a pup with the rest of the Stark direwolves when Eddard Stark and his entourage came upon the pups and their deceased mother. At the request of Jon Snow, the pups were spared and each Stark child adopted one as their own. Sansa names her direwolf Lady.

Having grown to the size of an adult dog already, Lady accompanies Sansa when she moves to King's Landing. While they are near the Inn at the Crossroads, however, she is executed by her father at the orders of King Robert - at the request of Queen Cersei - because Lady's pack sister Nymeria, Arya Stark's direwolf, attacked Prince Joffrey but couldn't be found afterwards. Although Ser Ilyn Payne was supposed to kill her, Ned carried out the sentence himself citing that, being of the North, she deserves better than a butcher.

Behind the scenes
Series author George R. R. Martin reported on his blog that after the filming of the episode in which Sansa's direwolf, Lady, is executed, the dog that played Lady, a Northern Inuit named Zunni, was adopted by Sophie Turner, the actress who plays Sansa.

In the books
In the A Song of Ice and Fire novels, Lady is arguably the gentlest and most trusting of the six wolf cubs, as well as the smallest. When Robert acquiesces to Cersei's demand that Lady be put down in place of Nymeria, Ned beseeches his king to reconsider by invoking the name of his sister deceased sister Lyanna, which appears to have an effect on Robert as he turns around and curses Cersei. With great reluctance, Ned gives Lady a quick death but refuses to let Cersei have her pelt and orders a group of his men to take the slain direwolf back to Winterfell for burial, which they do. Grey Wind, Summer, and Shaggydog are later heard howling in grief for their fallen sister near her grave. Robert later tells Ned that he is sorry for allowing Lady to be killed, adding that he knows Joffrey was lying about being attacked.

When Catelyn tells Ned about the attempt on Bran's life and how his direwolf saved his life, Ned recalls what Jon said about the pack ("Your children were meant to have these pups"), and is filled with guilt and fear about killing Lady: If the gods had sent these wolves, what folly had he done?

While Sansa stays at Littlefinger's home at the Fingers, she befriends an old blind guard dog. Recalling her dead direwolf, she says to the old dog "I wish that you were Lady".

When Cersei is later forced to perform a walk of atonement, she begins to hallucinate and sees Sansa with a shaggy grey dog that might have been Lady.