James Hibberd at Entertainment Weekly has the scoop!
Melisandre of Asshai, also known as the Red Woman, will be played by Dutch actress Carice van Houten, perhaps best known internationally for her leading role in Paul Verhoeven’s Black Book. She’s also recently co-starred with Sean Bean in the british medieval action-horror film Black Death (a nice still of her from that film can be found here).
As for Stannis Baratheon, King Robert’s brother (and Renly’s elder brother), an HBO veteran has ended in the role, British actor Stephen Dillane. Dillane received an Emmy nomination in his role of Thomas Jeffreson in the much-lauded HBO miniseries John Adams.
Below we have a couple of videos featuring both actors (Van Houten in an interview, Dillane in a scene as Jefferson). This looks like another great casting job by Emmy nominated casting directors Nina Gold and Robert Sterne!