The term 'Lord of Light' can refer to R'hllor or to his chosen servants.
The religion of R'hllor is centered on a strong dualistic belief, focused on the struggle between the good deity R'hllor and the evil deity known as the "Great Other". Essentially a monotheistic religion, followers of R'hllor 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.
R'hllor's worship involves the idolization of fire and light. Shadows are important too, as they are created by light.
Unlike the Old Gods of the Forest, the religion of R'hllor is stated to possess several holy texts.
Most of the worship practices of R'hllor involve fire. This can range from simple bonfires, to some extreme cases advocating human sacrifice by immolation.
The worship of R'hllor 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 R'hllor 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 sceptical. 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 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
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.
- R'hllor at A Wiki of Ice and Fire (major spoilers from the books).