Rhaego

"A Prince rides in me! And he shall be called Rhaego!"

- Daenerys Targaryen about her unborn son.

Rhaego is a minor character in the first and second seasons. He was the son of Khal Drogo and Khaleesi Daenerys Targaryen. He was named in honor of his uncle, Prince Rhaegar Targaryen. According to a Dothraki prophecy, he would have been the Stallion Who Mounts the World, a great khal of khals who would have united the Dothraki as one horde and used them to conquer the entire world. He was stillborn after being involved in a blood magic ritual performed by Mirri Maz Duur.

Season 1
Daenerys's handmaiden Irri realizes 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.

Daenerys strikes her brother Viserys after he threatens her and her unborn son. King Robert Baratheon orders Daenerys, her unborn child and Viserys killed. 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, Rhaegar.

On the borders of Lhazar, close to the Red Waste, Rhaego is reportedly stillborn and comes out looking like a monster. Mirri Maz Duur claims that he had scales like a lizard, was blind with bat-like wings, and had innards full of graveworms. She also says that when she touched him, his skin fell away from his bones, and that it was his death that paid for Drogo's life.

Season 2
Pyat Pree has told Daenerys that her stolen dragons are in the possession of the warlocks of Qarth, in the House of the Undying. So to recover her stolen dragons she goes there, and then she finds herself magically inside of it. She goes through different rooms seeing different visions such as the ruined throne room of King's Landing, but she keeps going, following the sound of her dragons crying. She sees a dothraki Khal's tent, and entering, finds herself back in her former home while on the Dothraki Sea in Khal Drogo's tent. Before her is her dead husband and child alive again. Rhaego is seen as a small adorable boy in the arms of Drogo. Daenerys shares an emotional moment with them. Drogo says that he doesn't know if this is a dream, but if it is he will kill the man who tries to wake him. Though she longs to stay, she hears her dragons in the distance and realizes that they are both only an illusion. She turns and walks away, and as she goes the emotion drains from Drogo's eyes.

Behind the scenes
During the illusion scene in the House of the Undying in which Daenerys sees a vision of Rhaego had he lived, the character is actually played by a female infant.

In the books
In the A Song of Ice and Fire novels, despite being told that her stillborn baby was a monster, Daenerys is visited by images of Rhaego as he would have been had he not been cursed by Mirri Maz Duur and survived. She sees him in her vision in the House of the Undying in Qarth. He appears to her as a young man with his father's physique and tanned skin coloring, with Daenerys' long silver-gold hair, and with almond shaped eyes of the traditional Targaryen purple color. He stands before a burning city, under the banner of a fiery stallion. He holds out his hand to her, but then fire pours from his mouth, and he is consumed by flame.