Many-Faced God

"There is only one god, and his name is Death. And there is only one thing we say to Death: 'Not today'."

- Syrio Forel

The God of Death is a deity worshipped predominantly in the Free City of Braavos.

Season 1
Syrio Forel mentions his belief in the God of Death to Arya Stark during their "dancing" lessons.

Season 3
Arya Stark reveals to Beric Dondarrion and Thoros of Myr that she has come to believe that "Death" is the one true god.

In the books
In the A Song of Ice and Fire novels, the God of Death is referred to as the "Many-Faced God", or "Him of Many Faces", and is worshipped, particularly by the Faceless Men, a guild of assassins based out of the Free City of Braavos.

The Faceless Men believe that the Many-Faced God is unknowingly worshipped by most faiths, simply under different names. Every religion either has a god of death (in polytheistic faiths), or worships a single god with dominion over death (in monotheistic faiths). Incarnations of the Many-Faced God of Death would include The Stranger in the Faith of the Seven, that has dominion over death, and the Great Other opponent of R'hllor.