Valyrian religion

The Valyrian religion was worshiped by the Valyrians in Essos throughout their vast empire, known as the Valyrian Freehold. The religion lasted for thousands of years within the Freehold, but was little-followed after the Doom of Valyria destroyed their civilization.

House Targaryen, a family of Valyrian nobles who survived by fleeing to Westeros, also later abandoned the religion when Aegon the Conqueror and his sisters converted to the Faith of the Seven (largely as a political move).

The Valyrian religion was polytheistic with a pantheon of several gods. The Targaryens named several of their dragons after the gods of old Valyria: Balerion, Vhagar, and Meraxes.

In the books
Little has been revealed about the old Valyrian religion in the A Song of Ice and Fire novels, other than that the Targaryen dragons were named after several gods from the Valyrian pantheon. Besides Balerion, Vhagar, and Meraxes, Syrax - the she-dragon ridden by Rhaenyra Targaryen - was also stated to have been named after a Valyrian deity.

The Valyrian religion went nearly extinct after the Doom of Valyria, but not entirely so. New religions surpassed it in the former Valyrian colonies of the Free Cities and Slaver's Bay, such as the Lord of Light religion, along with many others. The only group confirmed to still follow the Valyrian religion are some of the aristocratic families of Volantis. This is another extension of their obsession with Volantis's status as the first and oldest of the Free Cities, founded as a colony by Valyria. As a result they cling to whatever cultural trappings they can from the ancient Valyrians to advertise the belief that they are Valyria's successors, and should by rights one day conquer and unite all of the other Free Cities into a new Freehold. Even so, the religion is only still followed by some of the aristocratic families of Volantis, not all of them. Moreover, no one outside of the black walls of the inner city (inhabited only by aristocrats) follows the religion. There are six slaves in Volantis to each free man, and by far the most popular religion among them is the Lord of Light religion - the temple of the Lord of Light in Volantis is massive, three times bigger than the Great Sept Of Baelor.