There's a lot of religion going in the Game of Thrones universe. There's the Drowned God, the Seven, the gods of the North, the Faceless God, and, most significantly, the Lord of Light. Fans first got a glimpse at the Lord of Light in Season 2 of GoT as Melisandre, a priestess of the Lord of Light, and Stannis Baratheon were burning statues of the Seven in His name. At that time, the Red Woman was convinced that R'hllor — or the artist sometimes known as the Lord of Light — had chosen Stannis to rule the Seven Kingdoms, if only he would just do whatever R'hllor asks. Some of the magic Melisandre wields in the god's name does seem convincing, but is the Lord of Light actually real?
The religion of R'hllor, or the red god as he is known is Westeros, is a dualistic religion that believes there is a god of light, heat, and life who is locked in eternal struggle over the world's fate with his arch-nemesis, the icy and death-obsessed Great Other. The religion stipulates that a brave hero named Azor Ahai — who once created a hero's sword made of steel and the sacrifice of his wife's heart, and with it, conquered the darkness —will be reborn in a new hero. Melisandre thought this reborn hero was once Stannis, but in Season 5, it seems she's leaning more towards Jon Snow — a man who was literally reborn (perhaps into Azor Ahai). Meanwhile, Kinvara, the newest Red Woman, is convinced that Danaerys Targaryen is this chosen one.
But does this religion in the Ice and Fire universe have a basis in our actual universe? According to the Washington Post, George R.R. Martin based Lord of Light on the ancient Persian religion of Zoroastrianism, a thousands-of-years-old monotheistic religion that pre-dates Islam. In this faith, fire was used for spiritual awareness and wisdom, and was a big part of ceremony and prayer. Zoroastrianism also featured a good vs evil dynamic, as the main omnipotent and supreme Ahura Mazda created the twin spirits of good and evil, Spenta Mainyu and Angra Mainyu, who are constantly at odds with each other. Sounds pretty familiar, right?
Meanwhile, the savior portion of The Lord of Light's mythology is a pretty standard concept seen in many religions. Specifically, the messianic belief systems of Islam, Christianity, and Judaism all, according to a lecture by Alia Amer called "Muslims and Studies of the Future," believe in the coming of the leader of the great and final battle called "the Messiah." Some Christians believe that Jesus Christ is their equivalent to Azor Ahai, while many Muslims and Jews believe the Messiah is yet to come.
In Game of Thrones world, Melisandre, god or not, is definitely capable of some practical magic: homegirl can murder people with shadow babies, bring men back to life with just a haircut and sponge bath, and make herself look hundreds of years younger. Then there's Beric Dondarion, also a fan of the Lord of Light, who keeps coming back to life through the Power of the "Red God." But they aren't the only ones with power — from what we've seen of Kinvara, she too has some otherworldly skills. For example, she knew about all about the the eunuch-ization of Varys by a magician and the voice he heard in the fire, which was something that seemed to shock the heck out of the harbinger of little birds.
But does the magic and all-knowing these Red Women and Dondarion have gained come from one specific god? Is he actually speaking to any of them through the fire? Or are they just all equally talented in their own magical ways and need the god to give themselves purpose for their actions?
From what's going on now, it seems like the belief that the Lord of Light is going against the Great Other is coming to pass. The Night's King seems pretty dead-set on taking over all of everything with icy terribleness, which is definitely some Great Other-type behavior. There is clearly going to be a battle, but the person who's going to take up the mantle of Azor Ahai is still a mystery. When/if fans find out who Azor Ahai is will seemingly determine if the Lord of Light is the real deal.
In Game of Thrones, where magic and science fiction and horror and political drama all come together, it can be difficult to keep together what is real and what is fantasy. We don't yet know what's going on with the Lord of Light/ R'hllor/Red God, but I have a feeling we'll learn a lot more about it before this season is over.