New characters who appear exclusively in the TV series

Inherently, a large-scale TV adaptation of a series of novels, with dozens of characters and sometimes hundreds of background extras, will invent several characters who are "new". For example, "Unnamed Lannister Guard #2" might have some actual speaking lines in one episode. Other times the TV series might bother to invent a name for an insignificant one-shot character, i.e. naming "Unnamed Lannister Guard #2" as "Tom" so if Tyrion is pointing at him, he can say "Tom, come over here", instead of, "hey you there, come over here.", etc. Neither of these cases merits particular mention.

What is relevant are new "recurring characters", who have prominent dialogue and new names, and don't really correspond to any characters in the books. Also, sometimes new characters may only appear in one episode, but prominently enough (with names and/or speaking dialogue) that they are worth noting.

Ros
Ros the prostitute does not appear in the books, and is the first character created specifically for the TV show. However, some fans have speculated that her role is based on the "red-headed whore" who appears very briefly in the first novel. This is strengthened by the fact that Bianco was originally announced as playing "Red-Headed Whore". She was originally only supposed to appear in the first episode at Winterfell when Tyrion visits the local brothel. According to the episode's Blu-ray commentary, the producers were impressed with Bianco's performance, particularly that even though the shooting location was freezing cold at the time of her nude scene, she acted through it and gave no hint of discomfort due to the temperature in her performance. Ros' role grew as Season 1 went through production, and as it became a recurring role, author George R.R. Martin suggested that her character should be given a name.

Loosely speaking, Ros does stand in for, or act as a condensation of, several different prostitute characters that existed in the books. For example, in the books Cersei does imprison a prostitute that she thinks is Tyrion's lover (although his actual lover is Shae), but it is a different character named Alayaya, the daughter of Chataya, the woman who owns the whorehouse. The entire subplot involving these prostitute characters was cut from the TV series, and Ros functionally assumes this role in the story.

Martin has stated that he intends to work the character into later books in the series, probably as a throwaway cameo just to tie her presence into both the series and books. Ros' appearance in future books is now questionable following her death in Season 3.

Other prostitutes
Season 2
 * Armeca is another prostitute who works in Littlefinger's brothel with Ros.
 * Daisy is another prostitute who works in Littlefinger's brothel with Ros.

Season 3
 * Kayla - a contortionist
 * Genna
 * Marei (technically based on a minor prostitute from the books)
 * Mirelle
 * Olyvar - male prostitute
 * Myranda - in service to House Bolton
 * Violet - in service to House Bolton

Alton Lannister
Alton Lannister is an odd case, in that he is technically more of a renamed character than an outright new character, but his backstory has been altered. He stands in for the book character Cleos Frey, whose mother Genna Lannister is Tywin Lannister's sister, making Cleos a first cousin to Cersei, Jaime, and Tyrion. His name appears to have been changed so that TV viewers would not be confused that he is on the Lannisters' side, despite House Frey officially declaring for Robb Stark.

While Alton does serve in the same role as Cleos Frey in the books, it is later made clear that he is not the son of Genna Lannister, as he mentions his mother is "Cynda Lannister", whom Jaime has difficulty remembering. Thus "Alton Lannister" isn't as important a familial relation as Cleos Frey is; he is not Lord Tywin's nephew and Jaime's first cousin the way Cleos is in the books.

Reginald Lannister
Reginald Lannister is a minor character who only appears in one episode, "The Ghost of Harrenhal", at Tywin Lannister's war council. He is apparently a distant cousin from an lesser branch of the family, who is only in the meeting of Tywin's officers because his surname happens to still be "Lannister". Tywin thinks he's an idiot, so he dismisses him and sends him back to Lannisport.

Minor Frey girls
When Robb Stark arrives at the Twins in "The Rains of Castamere" for his uncle Edmure Tully to enter into a marriage-alliance with House Frey, Lord Walder Frey insists that he apologize to his many gathered daughters and grand-daughters, who might have married Robb if he hadn't broken his promised marriage-alliance to House Frey. Some of the Frey girls in this scene have names (presented in on-screen dialogue) which do not match any of the numerous minor Frey daughters and grand-daughters from the books: Arwaya Frey, Derwa Frey, Waldra Frey, Janeya Frey, Neyela Frey, and Freya Frey. A "Walda Frey" is also presented in this scene as Lord Walder's daughter: many of his children try to curry favor with him by naming their own children "Walder" or "Walda" (which he finds annoying), thus Lord Walder has numerous granddaughters named "Walda", but no daughter named "Walda". Meanwhile, the other Frey girls in this scene actually do use names from the books, and generally match their descriptions: Serra Frey, Sarra Frey, Marianne Frey, Merry Frey, and Shirei Frey.

Thirteen girls are introduced in the book version of this scene, only eleven in the TV version. Of these, five were the same in both (Merry, Marianne, Serra, Sarra, and Shirei). The book version also mentions a granddaughter named Walda, who may have been Fat Walda, who was later mentioned in the same TV episode anyway. Therefore six out of these thirteen girls were introduced in the TV version. The other seven were Arwyn, Gatehouse Ami (Fat Walda's promiscuous sister), Little Cersei, Tyta, Alyx, Marissa, and another girl named Walda.

Ultimately, even in the books these girls are all minor characters of whom little is known other than the name, genealogy, and sometimes a general physical description. Functionally it makes little difference that "Shirei Frey" used the same name as the books, instead of an invented name such as "Arwaya", but it is odd that the TV series didn't simply re-use names from the House Frey family tree in the books.