Melisandre

Season Two

The red priestess at Stannis Baratheon's side, convinced he is a prophesied hero reborn and willing to burn anyone who says otherwise, up to and including old gods' statues and Stannis's own brother. She gives Stannis a son made of shadow and smoke to murder Renly in his own tent, and stands alone in a sea cave to do it. At Blackwater she promises victory in the flames and is wrong, or at least wrong about the timing, and Stannis's fleet burns on the bay while she watches from a safe distance.

Season Three

Takes Gendry from Dragonstone's dungeons because his king's blood is useful for a working older and darker than anything Stannis has tried before — leeches, a fire, and three names read into it. She loses Gendry to Davos's conscience before the ritual can run its second, worse course, and by the season's end her attention has started drifting north, past Stannis's throne entirely, toward a wall and a war that a red priestess reads more clearly in the flames than any lord currently sitting in Westeros.

Season Four

Marches north with Stannis's host, working on Selyse and unsettling Castle Black's Watch, who have never had a priestess of R'hllor lecturing them about their god's plans for the realm. She tells Jon Snow, without much subtlety, that he interests her far more than a king who has already disappointed her once, and it isn't entirely about prophecy. When Stannis's cavalry arrives to break the wildling siege at the last possible moment, she takes it as proof she picked correctly again, and doesn't dwell on how close it came to going the other way.

Season Five

Presses Stannis toward the darkest math of the whole war: a king's blood sacrifice, his own daughter's, to buy wind and favor for a march on Winterfell that has stalled in the snow. Selyse breaks first and then doesn't stop him; Melisandre lights the pyre herself and watches Shireen burn while the camp listens to a child scream. It works, in the narrowest sense — the snow stops — and it costs Stannis every soldier who hears about it by morning, and costs Melisandre, eventually, a debt she hasn't started paying yet.

Season Six

Retreats to Castle Black a believer whose worst working has just failed her completely, and finds a dead Lord Commander laid out on a table with nothing left to lose. She resurrects Jon Snow with a prayer she doesn't fully expect to work, and it works anyway, which unsettles her as much as it does anyone else in the room. Davos, who buried a burned girl because of her, corners her afterward with the truth about Shireen, and when Jon's council learns what she did, she is banished from the North on pain of death and rides south not knowing, for the first time in years, what R'hllor actually wants from her.

Season Seven

Arrives at Dragonstone just long enough to tell Daenerys what a red priestess is for, urges her toward Jon Snow as the ally her war actually needs, and leaves again for Volantis before the alliance she suggested has even been tested. On her way out she tells Varys, almost gently, that she still has one more part left to play in Westeros, and that she'll die there — which he takes, correctly, as neither a boast nor a threat but simply an itinerary.

Season Eight

Returns to Winterfell uninvited on the eve of the Long Night, lights the Dothraki's arakhs and the trench around the castle with a word, and spends the battle doing the only thing left that a priestess of a fire god can usefully do against an army of ice. She tells Arya, in passing, the kind of thing she once told Jon Snow — that she sees deaths in strange colors, brown eyes and blue and green — and it matters more than either of them realizes that night. When the dead are finally beaten back, she walks out past the gates into the snow, removes the necklace that has kept her young for a hundred years, and dies exactly where she said she would.

A Clash of Kings 2 chapters that name them

A Storm of Swords 3 chapters that name them

A Dance with Dragons 1 chapter of their own, and 1 more that name them