There are three major religions in the Seven Kingdoms; the Drowned God, the Old Gods and the Seven. The Faith, the worship of the Seven, is the most widely spread and all knights are follows of the Seven.
The primary religion of the Iron Islands, the worship of the Drowned God fits the harsh, violent culture of the ironborn. The Drowned God is believed to reside in halls beneath the sea, where warriors who live by the old ways may join him to feast and fight for eternity. The Drowned God’s great nemesis is the Storm God, and the two war against one another. The priesthood of the Drowned God initiate the ironborn by the process of a ritual drowning. This drowning traditionally goes so far as to cause the initiates to stop breathing, so that the drowned priests resuscitate them (through crude lifesaving techniques, rather than magic, though they believe there is magic in it). The worship of the Drowned God is growing weaker in some ways, however, and now there are children who are merely dipped in water rather than drowned. There is no formal organization to the priesthood or its religion.
The religion of the children of the forest, it was adopted by the First Men once they signed the Pact with the children. It is a worship of the nameless spirits of forest, stream, and stone. Having no priesthood, followers of the old gods most often honor their gods in places called godswoods. Many castles have godswood in Westeros, even though there are nearly no followers of the old gods outside of the North. The heartree of older godswoods in the North is always a weirwood, with a face carved into it by the children milennia ago. Newer ones, such as that in King’s Landing, may have only a simple uncarved oaktree.
Brought by the Andals thousands of years ago, the Faith believes in one god personified through seven aspects: the Father, the Mother, The Smith, the Maiden, the Warrior, the Crone, and the Stranger. Of these, all but the Stranger tend to be venerated heavily. There is a belief in seven hells and the afterlife. Common symbols of the Faith are the seven-pointed star (which is also the name of the chief religious text), crystals which break light into multiple colors, and rainbows. Devotees of a particular aspect of the Seven might wear a token of this, such as a hammer pendant for the Smith or a sword necklace for the Warrior. All knights swear by the Seven, and in cases where they are knighted in formal ceremonies they are anointed with seven oils by a septon. The Faith is the dominant religion of the Seven Kingdoms, prominent in all regions except the North and the Iron Islands, but there are inroads in even those regions. The High Septon is the titular head of the Faith, and is based in King’s Landing.
In essence, the Faith is not unlike the medieval Catholic Church, although its political authority is far weaker since Maegor the Cruel and then Jaehaerys the Concilator removed its militant orders and removed its rule in judgement. Its attitudes to certain issues, such as heathen faiths and homosexuality, are also more benign than is commonly believed for the medieval Church and its views on similar religions. In fact, there is little discord between worshippers of the Faith and worshippers of other religions.
There are a myriad of faiths across the Narrow Sea and in other lands besides. The Rhoynish religion even continues to exist in Dorne, thanks to the orphans of the Greenblood.
The most common faith in the Free Cities is the worship of R’hllor, the God of Fire, who opposes the Great Other, the Lord of Darkness. The red priesthood is wealthy and influential, but little represented in the Seven Kingdoms save by a few proselytizing priests and a handful of small temples in larger port cities primarily aimed at foreign sailors. They light nightfires to brighten the night, while they sing hymns to strengthen R’hllor as he battles against the Great Other.
In the Summer Isles, it’s believed that the act of love is an act of worship for the gods, and all youths will spend a year as temple prostitutes as a sign of devotion.
In Braavos, there are temples to a thousand gods, among which is the temple to the Many-Faced God, whose adherents believes is the true face of all the little gods in which people believe in.