Story time part 4: The Old Gods and the New

In the Seven Kingdoms of Westeros, the dominant religion is the Faith of the Seven, first brought to its shores by the Andals some 6,000 years ago. But there are some who still keep to the old way, worshiping the faceless gods of the Children of the Forest and the First Men. The old gods are countless, nameless spirits of nature. In ancient times, the Children of the Forest carved faces in the trunks of the weirwood trees, which became sacred symbols of their faith. In time, the First Men adopted the Children's gods as their own. Most castles at that time contained a godswood with a weirwood or a heart tree at its center. Meanwhile, across the Narrow Sea, a new religion was born in the hills of Andalos. According to legend, the God of Seven revealed itself to the Andals, and the invasion of Westeros followed soon after. The Andals sailed across the sea on ships, armed with weapons of steel. Some warriors carved a seven-pointed star into their skin as a symbol of their new faith.The Faith is highly organized and deeply influential in Westerosi politics and culture, as the official religion of the monarchy. Worshipers gather in temples of the Faith called septs. The seat of the Faith is the Great Sept of Baelor, which is located in the capital city of King's Landing.Still, in the North, where descendants of the First Men dwell, worship of the old gods continues to this day, and the sacred faces of the weirwood trees keep close watch over the faithful.

Source: http://gameofthrones.wikia.com