Shadow

A shadow is a type of magical creature. Servants of the Lord of Light employ them to undertake dangerous missions on their behalf.

Season 2
Melisandre and Stannis Baratheon have sex, with Melisandre promising to give Stannis 'a son'. After the failed parley between Stannis and Renly, Melisandre is revealed to be pregnant. She gives 'birth' to a shadow in a cave close to Renly's encampment whilst Ser Davos Seaworth watches in horror. The creature infiltrates Renly's camp and kills him in front of Catelyn Stark and Brienne. Renly's bodyguards blame Brienne for the deed.

Davos is so disturbed by the appearance of the shadow creature that he convinces Stannis not to bring Melisandre along when their fleet and army attack King's Landing, in case the victory is credited to her powers rather than Stannis.

Season 3
Stannis asks Melisandre to make him another "son" to slay Joffrey as well as Robb Stark. However, she refuses him as he's too weak to survive another intercourse with her.

Behind the scenes
Fans colloquially call the creatures "shadow babies" due to the nature of their creation.

In the books
In the A Song of Ice and Fire novels, Melisandre actually conjures forth two shadows on separate occasions to kill Stannis' foes - Renly and Cortnay Penrose. She needs to use Stannis' own life-essence to fuel the entities, but this hugely drains him, and she did not produce any more shadows. Davos noticed that Stannis looked ten years older than before the Battle of the Blackwater. Use of the creatures is thus limited in case their creation taxes the creator to the point of death. Melisandre offered Davos to use his life-essence to produce a shadow (hence she did not specifically need Stannis for that purpose), but he refused to take any part in her dark witchcraft. It is unknown whether Melisandre made similar offer to any other men.

Shadows make an appearance in the 2012 Game of Thrones role-playing game. While they are visually identical to the "shadow babies", these shadows are created by Valarr Hill using blood magic and his own blood, as opposed to Melisandre birthing them. Valarr's shadows can be harmed by Valyrian steel weapons, due to the magical nature of the metal.