Rhaenys Targaryen (sister of Aegon I)

"It wasn't just Aegon riding his dragon, it was Rhaenys and Visenya too...Rhaenys rode Meraxes, Visenya rode Vhagar..."

- Arya Stark

Rhaenys Targaryen is an unseen character mentioned in the second season. She lived and died centuries before the events of the series, and is not expected to appear. She was the sister and wife of Aegon the Conqueror and helped him in his invasion and conquest of Westeros three centuries before the events of the series. Rhaenys and Visenya were (simultaneously) the first Queens of the Andals and the First Men.

Rhaenys is pronounced "Ray-niece".

Prince Rhaegar Targaryen named his daughter in her honor.

Background
Rhaenys was the sister of Aegon and Visenya, and was born on Dragonstone, the Targaryen stronghold in the Narrow Sea. Following Valyrian custom, she and Visenya both married Aegon. All three rode dragons, with Rhaenys the dragon known as Meraxes.

During the War of Conquest she rode her dragon at the Field of Fire, where the Targaryens destroyed the largest army ever fielded against their troops and broke the back of resistance to their rule in Westeros.

Season 2
Arya Stark, whilst posing as a common serving girl in Lannister-occupied Harrenhal, discusses the razing of the castle with Lord Tywin Lannister. She mentions Rhaenys and her dragon, but admits that Visenya was more of a hero of hers.

In the books
In A Song of Ice and Fire, Rhaenys is said to have been the gentler, more playful and less serious of Aegon's sisters. Whilst she rode her dragon in battle, she was not a warrior in the same way her brother and sister were, and unlike them did not possess a Valyrian steel sword.

She bore Aegon one son, Aenys, who later become the second King on the Iron Throne. After Aegon's death. Aenys was followed by Maegor the Cruel, but after his death Aenys's son, Jaehaerys inherited the throne. This means that all later members of House Targaryen, including Daenerys, are descended from Rhaenys.

In The World of Ice and Fire it is revealed that Aegon loved Rhaenys the most out of his sisters, spending ten nights with her for every one that he spent with Visenya. However, whilst Rhaenys was indeed the gentler of the two sisters, she was still a fierce warrior in her own right. She became a dragon-rider at a very young age and during the War of Conquest provided support for Orys Baratheon's assault on Storm's End. She also led the aborted invasion of Dorne, confronting the ancient Princess of Dorne in Sunspear and failing to cow her.

Rhaenys had two or three children after Aenys. She ultimately died in Dorne, though the circumstances of her death have not been mentioned yet.