Rhaego

Rhaego is the unborn child of Daenerys Targaryen and Khal Drogo. He is named in honour of his uncle, Prince Rhaegar Targaryen. According to a Dothraki prophecy, he will be 'the Stallion That Mounts the World', a great khal of khals who will unite the Dothraki as one horde and use them to conquer the entire world.

Lord Snow
Daenerys's handmaiden Irri realises that Daenerys is pregnant with Drogo's child. They throw a small feast to celebrate. Ser Jorah Mormont is troubled by the news and sends word of it to his paymaster, Varys, in King's Landing. Daenerys tells Drogo she is certain the child will be a boy.

Cripples, Bastards and Broken Things
Daenerys strikes her brother Viserys after he threatens her and her unborn son.

The Wolf and the Lion
King Robert Baratheon orders that Daenerys, her unborn child and Viserys all be killed.

A Golden Crown
In Vaes Dothrak omens are taken and the crones proclaim that Drogo's son will be the Stallion That Mounts the World. Daenerys names him Rhaego for her deceased brother.