The Sparrows were a religious movement that arose within the Faith of the Seven. It was mostly composed of the lowest and humblest of the holy faith and was formed in response to the suffering inflicted on the smallfolk of Westeros during the War of the Five Kings. They were led by a poor traveling "High Sparrow," a play on words of the head of the Faith, the High Septon.
The Sparrows gradually formed largely from smallfolk during the early years of the War of the Five Kings as a popular disgust movement by followers of the Faith of the Seven, the dominant religion of Westeros, outraged at the suffering being inflicted on the commoners by the high lords, and particularly the wanton attacks on members of the clergy when entire villages and towns were ravaged in the war. Many were especially disturbed by the violation of holy principles during the war, such as the breaking of guest right at the Red Wedding.
According to Ser Kevan Lannister, the Sparrows only started to appear in King's Landing after Lord Tywin Lannister was killed. Before that, Tywin had made sure that his soldiers would keep the more troublesome refugees out of the capital city. After Tywin dies, however, the Sparrows openly and frequently appear in King's Landing.
Ser Kevan Lannister reveals to his niece, Queen Cersei Lannister, that his son, Lancel Lannister, has joined the Sparrows. As a sign of his newfound piety, Lancel has taken to wear humble clothes, no shoes, and cut his golden hair short.
A group of Sparrows led by Lancel break into Littlefinger's brothel, where they find that the High Septon is secretly a regular customer. Right in the middle of an encounter between the High Septon and several prostitutes (in which the whores role-play by dressing up as the Seven), Lancel and the other Sparrows burst into the room. They beat Olyvar and scare the whores away while Lancel confronts the angered High Septon and accuses him of profaning the Faith of the Seven (through so flagrantly violating his sworn vows of chastity). The Sparrows strip the High Septon of his clothing and parade him naked through the streets, striking him with a stick whenever he tries to cover his genitals with his hands.
The High Septon complains to the small council. Mace Tyrell is shocked by his corruption, but Pycelle defends the High Septon, stating that a man's private affairs ought to remain private. The High Septon demands the death of the High Sparrow. Queen Cersei, however, decides to visit the High Sparrow in Flea Bottom. She is surprised to find that he is a humble monk, dressed in rough-spun robes and barefoot, personally serving out bread and soup to the poor. He is mildly worried that Cersei has come to arrest him, but instead, she reveals that she had the High Septon arrested, stating that his corruption was a public embarrassment. Instead, Cersei says that due to the still perilous state of the realm from the war, she wants to make sure that the Crown and Faith work together as allies to strengthen public order under her son, King Tommen I.
Cersei has Tommen appoint the High Sparrow as the new High Septon and creates an alliance with them to counter the growing influence of the Tyrells over the court. She informs the High Sparrow that her son has reestablished the Faith Militant, which is soon quickly composed of Sparrows, to dispense the Faith's justice across the city. The new Faith Militant storm the streets of King's Landing, attacking taverns, brothels, and street vendors selling idols from other religions. The City Watch look on, helpless, and do not intervene. They ransack Littlefinger's brothel, dragging prostitutes like Marei out into the street by their hair. Olyvar is struck and ignored as they barge in. Olyvar hears screams coming from another room which he approaches to see the Sparrows have singled out a male client having sex with one of the male prostitutes. The Sparrows had assaulted the customer and prostitute with knives and hurled homophobic slurs against them. One Sparrow approaches one of the men with a knife. Olyvar flees as one of the men screams off-screen.
Lancel leads a group of Sparrows to arrest Ser Loras Tyrell for his sexual relationships with other men. At Loras's testimony, his sister, Queen Margaery Tyrell, testifies on his behalf, but Olyvar is brought in to give his own testimony. Olyvar reveals his sexual encounters with Loras and that Margaery had walked in on them, seemingly not surprised. The Sparrows then seize Loras and arrest Margaery. King Tommen does nothing to stop it with his Kingsguard, afraid to create violence, and Cersei smirks at Olenna Tyrell. However, the High Sparrow later has Cersei herself arrested after revealing that Lancel confessed his sins to him, from their own sexual relationship to their plot to murder King Robert Baratheon.
Not all the Sparrows join the Faith Militant, however. Several Sparrows are gathered before the Great Sept of Baelor when the High Sparrow addresses the people of King's Landing to announce that Cersei has confessed to some of her sins and is to undergo a walk of atonement to return to the Red Keep. A dirty, bloody Cersei returns to the Red Keep after being spat at and mocked by the smallfolk, with Septa Unella ringing a bell and repeatedly shouting "Shame!", where Qyburn reveals a revived Ser Gregor Clegane to her, the newest member of the Kingsguard.
When the High Sparrow meets with Ser Jaime Lannister and King Tommen I, Tommen demands that he let his mother Cersei Lannister attend the funeral of Myrcella Baratheon at the Great Sept of Baelor, but the High Sparrow insists that Cersei must remain in the Red Keep until her trial can determine her fate. Ser Jaime threatens to murder the High Sparrow then and there, but several Sparrows of the Faith Militant emerge from the shadows, armed. The High Sparrow warns Jaime that individually, they are poor and powerless, but together, they can overthrow an empire.
Tommen later meets privately with the High Sparrow, who works to bring the boy king under his wing. The High Sparrow confides in Tommen a secret that he later reveals to his mother: Margaery Tyrell is expected to undergo a walk of atonement. Cersei and Jaime burst into a meeting between their uncle, Ser Kevan Lannister, now Hand of the King and Protector of the Realm, and Olenna Tyrell, both of whom have denied Cersei from power. Jaime plots with Kevan and Olenna to bring a Tyrell force into King's Landing to confront the Sparrow-controlled Faith Militant and force them to free Margaery and Loras Tyrell. Lord Mace Tyrell leads the Tyrell troops into the capital and meets up with Jaime Lannister. They march to the Sept of Baelor and have a standoff with the High Sparrow. However, the High Sparrow has drawn them out and reveals that Margaery has brought another into the true light of the Seven: King Tommen himself. The smallfolk cheer on as Tommen declares a new holy alliance between the Crown and the Faith. Tommen then dismisses his uncle (actually father) Jaime from the Kingsguard for his march against the Faith, which he claims was also a march against the Crown, and commands him to ride to the Riverlands to relieve the Frey army in their Second Siege of Riverrun against the rebel House Tully.
Jaime doesn't want to leave his sister-lover alone in the capital, but Cersei assures Jaime that when her trial comes, she will use Ser Gregor Clegane in a trial by combat. When the High Sparrow demands her presence, Cersei has Ser Gregor brutally tear off the head of one of the Sparrows, terrifying her cousin Lancel and the other Sparrows. However, at the next gathering of court in the throne room, Tommen reveals that after conferring with the High Sparrow, they have decided to outlaw trial by combat, dismissing it as corrupt. Tommen states that the trials of Cersei and Ser Loras Tyrell are to be held at the beginning of the Festival of the Mother before seven judges as it was in the old days, including the High Sparrow himself. Cersei, stunned by her son's "betrayal," is approached by Qyburn, who reveals that the old rumor he had his new little birds look into is something more than a rumor... much more.
Much of the nobility of King's Landing gathers at the Sept of Baelor, including Margaery and Mace Tyrell and Kevan Lannister, though Olenna Tyrell previously returned to Highgarden. Ser Loras, tortured into submission, confesses to his sins and agrees to devote his life towards serving the Seven, and is brought into the Sparrows as a member of the Faith Militant. However, Cersei does not show up, concerning the gathered audience. The High Sparrow sends Lancel and a group of Sparrows to retrieve her, but Lancel has the others go after Cersei while he follows Arthur beneath the Great Sept. Realizing that they are in danger, Margaery urges the gathered lords and ladies to flee, but the Faith Militant blocks their leave. As the High Sparrow watches on, surprised by the scare, wildfire ignites beneath the Sept of Baelor, destroying the Great Sept and the surrounding district. Though Cersei has obliterated her gathered enemies, her son Tommen is overwhelmed with grief and jumps from the Red Keep. With all of her children dead, Cersei seizes the Iron Throne for herself with Qyburn as her Hand, the gathered court and her brother Jaime watching on with discontent.
In the books
In the A Song of Ice and Fire novels, the Sparrows are so named because, just as the sparrow is the humblest of birds, they are the humblest of men. They are a popular disgust movement that arose among the commoners of the Seven Kingdoms in reaction to all of the suffering caused by the War of the Five Kings and the Lannisters' indifference to it - particularly to the despoiling of septs and septries, as well as the attacks and rapes on men and women sworn to the Faith. They march to the capital carrying with them the bones of the holy men and women killed in the course of the War of the Five Kings to lay them before the King and demand his protection.
In the novels, the religious protest movement known as the Sparrows were gradually introduced in preceding books - not necessarily called "the Sparrows", but precursors such as mounting widespread anger and disgust at the suffering of the commoners caused by the war the Lannisters started. Much of Arya and Brienne's storylines involved their wanderings through the Riverlands, witnessing the vast devastation inflicted upon the region - but most of these were omitted for time in the TV series. More discontent was also seen among the poor masses of King's Landing - though at least part of that was shown, such in Season 2's "The Ghost of Harrenhal" when Tyrion and Bronn see a street preacher declaring to an angry mob that Joffrey is a rotten king, a product of incest, and the high lords have forgotten the gods. This also culminated later during Season 2 in the Riot of King's Landing. These subplots, however, were condensed for the TV series, so the Sparrows suddenly appear in the Season 5 premiere, "The Wars to Come". Kevan, however, offers the explanation in that same episode that the Sparrows were active in the countryside for some time, just "off-screen", and that they simply haven't been seen in King's Landing before that point because they were wary of directly confronting Tywin Lannister while he was alive.
Lancel Lannister does not specifically join the Sparrows, though he does become associated with them. After nearly dying from the infected wound he took at the Battle of the Blackwater, Lancel becomes a fanatically pious man, despite his marriage to Amerei Frey and being given the lands of the newly extinct House Darry. Lancel later abandons his wife and renounces his claim to any lands to join the Warrior's Sons, one of the two orders that make up the Faith Militant. The TV version simply condensed this to make him one of the Sparrows, and then soon initiated into the Faith Militant.
In Season 6 of the TV series, Cersei Lannister wiped out most of the Sparrows in King's Landing including the High Sparrow himself in the Destruction of the Great Sept of Baelor. While certainly a major blow against them, it isn't clear if they could be totally destroyed in one event like this in future novels. The five current novels make it a point that the Sparrows have spread over all of southern Westeros, and while many of them do descend upon King's Landing there are still many scattered across other parts of the realm. Multiple characters observe groups of them in the Riverlands, for example, tending to refugees. Killing off so many in the Great Sept may indeed remove their presence from King's Landing, and an event so large as the destruction of the Great Sept will probably happen in the next book, but killing all the Sparrows and essentially destroying the largest cathedral in Westeros might lead remaining religious leaders across the continent to utterly turn against Cersei - the outcome will only be revealed by the next novel.
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