Lady

"Lady didn't bite anyone! She's good!"

- Sansa Stark

Lady is one of six direwolf cubs found by the children of House Stark. Lady is adopted and raised by Sansa Stark.

Season 1
Lady is found with her brothers and sister beside her dead mother in the Wolfswood outside Winterfell. She is brought back to Winterfell where she is adopted and raised by Sansa Stark.

Having grown to the size of an adult dog already, Lady accompanies Sansa when she moves to King's Landing. While they are near the Inn at the Crossroads, however, she is executed by Lher father at the orders of King Robert - at the request of Queen Cersei - because Lady's pack sister Nymeria, Arya Stark's direwolf, attacked Prince Joffrey but couldn't be found afterwards. Although Ser Ilyn Payne was supposed to kill her, Ned carried out the sentence himself citing that, being of the North, she deserves better than a butcher.

The moment Lady is killed, Bran Stark awakes from his coma.

Behind the scenes
Series author George R. R. Martin reported on his blog that after the filming of the episode in which Sansa's direwolf, Lady, is executed, the dog that played Lady, a Northern Inuit named Zunni, was adopted by Sophie Turner, the actress who plays Sansa.

In the books
In the A Song of Ice and Fire novels, Lady is arguably the gentlest and most trusting of the six wolf cubs, as well as the smallest. After putting down Lady following Robert's orders, Ned refuses to let Cersei take Lady's pelt and orders a group of his men to take the slain direwolf to be buried in Winterfell's lichyard. Much later in the novel, when Ned is held captive in the black cells of the Red Keep he questions whether his fate at the hands of the Lannisters is a result of him killing Lady.

In the novel there is no connection between Lady's death and Bran's awakening.