The term "Lord of Light" can refer to R'hllor or to his chosen servants.
The religion of the Lord of Light is centered on belief in a single, all-powerful monotheistic god. It espouses a strong dualistic belief, focused on the struggle between the good deity "the Lord of Light" and the evil, false deity known as the "Great Other". Essentially a monotheistic religion, followers of Lord of Light consider the "Seven aspects" of the Faith of the Seven to be little more than a thin veneer of justification for worshiping polytheistic pagan idols.
The Lord of Light's worship involves the idolization of fire and light. Shadows are important too, as they are created by light. The religion is very focused on prophecy, and on ecstatic visions that are received through communion with the flames. Melisandre claims to receive visions about the future from the Lord of Light by staring into His bonfires.
Unlike the Old Gods of the Forest in the North or the Drowned God of the Iron Islands, the religion of the Lord of Light is stated to possess several holy texts. Converts to the religion, such as Matthos Seaworth, feel these the philosophical and religious arguments in these texts rationally explain the logic of belief in a single, all-powerful monotheistic deity, and that the arguments within them can convince followers of the Faith of the Seven about how illogical their belief in a "seven-in-one" god is. While the Old Gods and the Drowned God are based more on cultural and oral traditions, and were themselves overpowered by the complex belief system of the Faith of the Seven, the Lord of Light religion actually has its own holy texts and complex philosophical belief structures, making it a serious challenge to the hegemony of the Faith of the Seven.
Most of the worship practices of the Lord of Light involve fire. This can range from simple bonfires, to some extreme cases advocating human sacrifice by immolation.
The worship of the Lord of LIght is widespread in Essos, and practice varies between the relatively mild forms in the Free Cities and the more harsh versions found further east in Asshai. The religion is led by the "Red Priests", though both men and women can join the priesthood.
The common prayer of the followers of the Lord of Light uses the line "The night is dark and full of terrors", followed by the response line, "Lord, cast your light upon us."
Melisandre, a red priestess of R'hllor, has installed herself at the court on Dragonstone and has won the trust of King Stannis Baratheon. She believes that Stannis is the true Lord of Light, a chosen servant of R'hllor who will destroy his enemies with the sword Lightbringer. She also wins over many of Stannis's supporters, including Matthos Seaworth, though his father Davos remains skeptical. At a ceremony on the beach under the castle, Melisandre burns sacred religious artifacts from the Faith of the Seven, overcoming Maester Cressen's objections. Later, he tries to poison Melisandre by tainting his own cup of wine and sharing it with her. As he lies dying, Melisandre reveals she is unaffected by the poison due to the protection of R'hllor.
Melisandre later seduces Stannis, promising to give him a son. She does become pregnant, but not with a human child. After the failed parley with Renly, she 'gives birth' to a monstrous shadow creature in the caves below Renly's camp.
In the books
In the Song of Ice and Fire novels, R'hllor is a popular deity of the Essos continent, worshiped extensively in several of the Free Cities. In Volantis, the Temple of the Lord of Light is larger than the Great Sept of Baelor. His symbol is a heart surrounded by fire.
According to George R.R. Martin, the R'hllor religion is strongly influenced by the real-life religion of Zoroastrianism, which in turn influenced Judaism and other real-life monotheistic religions. The central element it borrows is that it is a monotheistic religion with a strong sense of Dualism: there is one true, "Good" God, locked in eternal combat with an evil deity. As part of this dualism R'hlorr, who embodies light, fire, and heat, is opposed on the level of primordial forces by the "Great Other" who embodies cold and darkness.
The proper name of the deity is "R'hllor", though he is alternatively called the Lord of Light. "R'hllor" might simply be the word for "Lord of Light" in the language of Asshai. The name "R'hllor" has not yet been used in the TV series as of the end of Season 2; for the sake of simplicity, it has consistently used "Lord of Light" so far.
- R'hllor at A Wiki of Ice and Fire (major spoilers from the books).