Lions are feline apex predators found primarily in Westeros and Essos. Lions feature prominently in Westerosi heraldry, such as the sigils of House Lannister, House Grandison, and the extinct House Reyne.
According to legend, the founder of House Casterly tracked down a lion that was terrorizing his village to a gold-filled subterranean cave. The man killed the lion and its mate, but spared the cubs and built Casterly Rock upon the cave.
In the books
In the A Song of Ice and Fire novels lions inhabited the western hills of Westeros but have been nearly hunted down to extinction. One famously attacked Lord Tytos Lannister, Tywin's father, but even in those days they were considered rare. Their numbers declined further in later years, and they may be extinct in the wild of Westeros.
When Queen Cersei Lannister was a child, caged lions were kept in the bowels of Casterly Rock, a legacy from the days of her grandfather Tytos. She and Jaime used to dare each other to climb into the cage, and once she slipped her hand between two bars and touched one of the lions; it stared at her, then licked her fingers. Cersei dared Jaime to pull the lion's mane, but he was not as bold as she was.
In contrast, wild lion populations apparently still thrive in many of the open regions of Essos. The plains of the Dothraki Sea are inhabited by a white subspecies of lion, called hrakkar by the Dothraki. Lions are also a common sight in many private collections in the cities of Essos, either for display or for combat in fighting pits. The Prince of Pentos is mentioned to keep a pride of lions in his private menagerie.
In real life, lions inhabited southern Europe until historic times, when human encroachment gradually drove them to extinction. The Roman Empire's demand for lions and other big animals to fight and die in colosseums also played a large role in diminishing their numbers.
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