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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?

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This should become apparent soon, if it was not apparent now. You are asking prematurely, just bite your nails and wait for next weeks episode. – TLP Apr 25 '12 at 12:11
She gives birth to the Lost smoke monster. Sorry, I miss Lost... – MPelletier Apr 25 '12 at 14:13
Sorry - I don't see how this is all that constructive a question when this should be easily answered in the subsequent episode. It's almost like getting to the end of a chapter in a book and asking "does Frodo make it to Rivendell?" – HorusKol Apr 25 '12 at 14:39
@DavRob60 - actually, your example serves my argument than the (admittedly precocious) one I gave - the user asking about Saruman's ring is asking after having completed the book and finding no further reference. Similarly, if your question isn't answered by the end of the series (possibly even within the next episode), then your question is valid - otherwise, I think your question is premature, spoiler-prompting, and too localised in time – HorusKol Apr 26 '12 at 0:34
@HorusKol even after seeing the next episode, it's still not clear (at least not without the book) what it was. What it's purpose is, and what it does, sure - but what is it? – AviD May 7 '12 at 15:16
up vote 14 down vote accepted

Disclaimer: I have not yet seen that episode of the show, but, in general, the show is remarkably faithful to the books, so I will provide a book answer.

Melisandre's pregnancy is the result of the magic she (purportedly) draws from her god, R'hllor.

Warning: Spoilers ahead:

The shadowy figure is a magical assassin. It is implied in the books that she draws the energy to create it from Stannis through sexual intercourse.

I don't recall mention of a son from the books, but I rather doubt that this is what Melisandre was referring to.

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I don't recall any chapters from the viewpoint of Melisandre or Stannis in A Clash of Kings, and in the books the sexual relationship is merely implied, so I'd guess any scenes where they're about to have sex are specific to the show. – Anthony Grist Apr 25 '12 at 15:45
Yes, it was. There's some people saying that this didn't happen in the book, but it did. It was just very subtle in the book and we never saw them actually have sex, though it is heavily implied that was what they did to create the shadow. – user6042 Apr 27 '12 at 17:27
Yes, as I said, I haven't seen the show. The sex between Stannis and Melissandre is definitely implied throughout the books (most strongly in the scene where Davos meets with Melissandre in her room, and Melissandre attempts to seduce him). – Beofett Apr 27 '12 at 19:43

Seems that it's some kind of demon created by Stannis and the priestess that is channeling the lord of light and that's why it's born full grown and is made of smoke. It's like the same kind of fire and sex ritual to give them powerful new babies as Daenerys did with the dragons.

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Welcome to Science Fiction and Fantasy! I had to edit your answer to remove some unnecessary vulgarity. Feel free to edit it back with a more appropriate language. – DavRob60 Feb 28 '13 at 18:02

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