At the end of Garden of Bones (Season 2 episode 4) Melisandre (the red woman/priestess) gives birth:
At night, Stannis orders Davos (Liam Cunningham) to take Melisandre to shore, and to be sure they are not seen. Once ashore, Melisandre reveals she is, impossibly, in late-stage pregnancy, and gives birth to a horrific, shadowy figure, which disappears in a cloud of smoke.
What was that? Two episodes earlier, she promised a son to Stannis before they had sex. Was this the product of their union?