Aegon I Targaryen

Aegon I Targaryen, known as Aegon the Conqueror, is an unseen character in Game of Thrones. He died almost three hundred years before the time of the series, and is not expected to appear. Aegon I Targaryen conquered much of Westeros with three great dragons and unified the realm under his rule founding the Targaryen dynasty.

Background
Aegon I Targaryen was the first king of the Targaryen dynasty. He is the king who, with three great dragons and a small army, invaded and unified six of the Seven Kingdoms of Westeros, founded the city of King's Landing, built the Red Keep and forged the Iron Throne.

Season 1
Sansa Stark is given a history lesson by Septa Mordane whilst visiting the throne room in the Red Keep. Aegon the Conqueror is mentioned as the king who unified the Seven Kingdoms and forged the Iron Throne.

In Vaes Dothrak, Daenerys Targaryen and Ser Jorah Mormont discuss Aegon's invasion of Westeros and how he unified six of the Seven Kingdoms (the seventh, Dorne, was not added to the realm until some time later) some three hundred years ago. Jorah expresses doubt that Aegon had dragons, indicating the events happened so long ago it's impossible to be sure.

In the books
In the Song of Ice and Fire novels, Aegon was a child of House Targaryen, dwelling on the island of Dragonstone in the Narrow Sea. The Targaryens, a family of Valyrian origin, had been in control of Dragonstone for a century before the Doom of Valyria destroyed their homeland in a volcanic cataclysm. For another hundred years on Dragonstone, the Targaryens slowly built up their strength and raised their dragons, the last in the world. When he was of age, Aegon, his two sister-wives and his three dragons led a scant few thousand troops in invading the entire continent of Westeros. Despite being vastly outnumbered, Aegon was able to secure victory after victory using his dragons. He smashed the Gardener and Lannister armies on the Field of Fire, securing their capitulation, and convinced the Arryns and Starks to join him peacefully through negotiation. Eventually all of Westeros acknowledged him as king, save only Dorne which he decided not to conquer after encountering fierce resistance.

After the Conquest, Aegon ruled for thirty more years, apparently wisely and well. However, upon his death the realm was plunged into a bloody war when the Faith of the Seven rejected his sons, born of incest, from following him on the throne. Eventually the uprising was put down and the Targaryen rule secured for centuries.