Maegor's Holdfast serves as a redoubt when the city is attacked in the Battle of the Blackwater. Queen Regent Cersei Lannister hosts the women of the court there when the city is attacked by King Stannis Baratheon. They take refuge in a sparse stone walled room fitted with bunk beds. Cersei has a larger double bed on a dais.
The Faith Militant enters Maegor's Holdfast, demanding Cersei's presence at the Great Sept of Baelor. She refuses, and they are forced to leave when Gregor Clegane rips a Brother's head off with minimal effort.
After the burning of the Iron Fleet and all of the scorpions, and the breaching of the Red Keep, Qyburn advises Cersei to retreat to Maegor's Holdfast. Her Queensguard attempts to escort her there, but they are crushed by falling debris or slain by Sandor Clegane, and Cersei continues alone into the holdfast.
Tyrion holds the first meeting of the new small council in the room adjacent to the map courtyard in Maegor's Holdfast. It appears that the room has been refurbished from it's previously charred state.
In the books
In the A Song of Ice and Fire books Maegor's Holdfast is a massive square fortress inside the heart of the Red Keep behind walls twelve feet thick and a dry moat lined with iron spikes. It is a castle-within-a-castle. The royal apartments are in Maegor's Holdfast.
The Holdfast also contains the Queen's Ballroom, a hall only half as big as the Small Hall in the Tower of the Hand. The Ballroom seats one hundred and has beaten silver mirrors behind the wall sconces which makes the torch's light seem twice as bright. Its walls are paneled with richly carved wood and it has a gallery above the main floor. High arched windows sit along the south wall.
During the Battle of the Blackwater, Cersei and the noble ladies of the court gather at the Queen's Ballroom.
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