The Bandit Lords were a group of outlaws who led a gang of bandits in the Dornish Marches.
The Bandit Lords abducted the lord and lady of House Dondarrion during the reign of King Aerys II Targaryen, and held them hostage at a place called the Diamond Cave. They were all hunted down and killed by Ser Arthur Dayne, a member of the Kingsguard. Arthur later rescued Lord Dondarrion and his wife from the bandits.
In the books
In the A Song of Ice and Fire novels, there is no mention of this group.