In season 1, we got a basic sketch of the polytheistic culture of Westeros in the disparity between the "The Old Gods" worshipped by those in the north vs. the newer gods - referred to as "The Seven" - worshipped by those who dwell in the south. Well, the idea of religion (much like in the real world) becomes a bigger and bigger deal in Game of Thrones - and like everything else with this show, there's more and more to remember.
In season 2, we will learn of the fiery god, R'hllor Lord of the Light, who is worshipped by priests and priestesses of The Red Temple - including Stannis Baratheon's close confidant, Melisandre. By contrast, The Drowned God is an ancient god of the sea worshiped in Theon Greyjoy's homeland, The Iron Islands.
Monotheism will be making a comeback.