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In A Dance with Dragons we find out that:

Varys and Illyrio "saved" Aegon Targaryen from death, and are plotting to restore him to the Iron Throne. This is clearly a long-term plan since Aegon would have only been a baby when he came under their protection.

And from way back in A Game of Thrones we know:

They support Daenerys and Viserys Targaryen. Illyrio hosts them in his mansion for months and then marries Dany to a powerful Khal with an army that can help them regain the Iron Throne. Viserys is also the son of the last Targaryan king, and has a better claim to the throne that any other Targaryans.

But it is interesting that according to Chapter 5 of ADWD,

Illyrio says he had posted guards at Dany's door Viserys might have undone years of planning. Tyrion then comments that Viserys, "Sounds an utter fool". To which Illyrio replies, "Viserys was Mad Aerys' son, just so."

So why do they support both of these people, if the one they favor has the weaker claim?

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Alright put on your tin hats everyone - my guess is Varys is actually a Blackfyre, as well as Aegon. This is why Varys shaves his head and why he is supporting Aegon for the throne. This also explains why he always says he supports the realm. He cannot just outright claim his support for the Blackfyres... –  johnsoe Jul 15 at 20:52
    
Does Aegon not actually have the stronger claim (always assuming you believe Aegon is who he is said to be)? The first born son (Aegon) of the first born son (Rhaegar) would be expected to come before a second son of Aerys (Viserys) or Aerys' daughter (Daenerys) under the forms of congnatic primogeniture that were prevalent in Medieval Europe. –  The Giant of Lannister Jul 16 at 18:04

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The simple answer is: options.

Varys has shown that he is an effective, and devious long-term planner. A large part of his strength in this regard is his ability to adapt to the current situation.

This is crucial to any long-term plans, particularly when it comes to political intrigue. You can't just pick a plan and hope that nothing goes wrong between now and when you plan on implementing it (especially if it will take decades).

Strategic board games like Go, Chess and Cyvasse are frequently used as an illustrative analogy for political machinations, and for good reason, as there are several parallels.

Aegon, Daenerys, and Viserys are all important pieces in Varys and Illyrio's game, but until recently, it was too early to bring them into active play. Prior to that, their strategy was to create a favorable environment, to ready the playing field in such a way as to maximize the value of each of those pieces.

Viserys' weakness was apparent pretty early, but notice how he was used. Illyrio arranged the wedding of Daenerys to a powerful military force. Viserys' role was token, at best. All he really contributed was that he legitimized Daenerys as a princess, making her a more attractive mate for Khal Drogo.

Aegon was actively trained as he grew older, to prepare him to be a useful and skilled asset and/or ruler.

If plans had progressed the way Varys and Illyrio set them up, there would have been two strong Targaryen claimants for the throne (Aegon and Viserys), and they would have been able to pick which was most suited for the situation.

Viserys could have been set up as a decoy, or even something like the Baron Harkonnen's strategy from Dune: Viserys could have been put on the throne, knowing full-well that he was dangerously unstable and would be a terrible leader, but then once the population of the Seven Kingdoms truly came to hate him, he could have been replaced by Aegon, who seems far more capable and charismatic.

However, Varys (and probably Illyrio, as well) is too careful to not account for chance. He would want backups in case, for example, one of his Targaryen claimants proved dumb enough to provoke a Khal into dumping molten metal over his head.

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This is a valid question, and not one that has a readily available answer. I think that the answer lies on a meta-level: the author George R R Martin (henceforth GRRM) initially expected A Song of Ice and Fire to be a trilogy, which means that the original major plot pieces and characters were set at an early stage. In this case, it is not all that strange that they should draw an ace from their sleeve at a late stage of the game: Aegon.

It is important to note that Varys & Illyrio did not set in motion the events that lead to the destruction of the Baratheon royal house -- that was Littlefinger. He murdered Jon Arryn, set the Starks against the Lannisters, thereby causing Cersei to kill off Robert. Varys and Illyrio has up until the end of ADWD refrained from too much outright assassination. In a sense, they have only profited from the chaos that Littlefinger has created.

In my opinion, it does not make sense to secretly support Viserys and Daenerys, while at the same time grooming Aegon as the real candidate. One might argue that Viserys makes for a good decoy, but then again, one could just as easily argue that keeping him alive also keeps the threat against house Targaryen alive. Viserys and Daenerys have been running all their lives, lived in fear and poverty. It is actually quite hard to expect that they should be grateful to Varys & Illyrio, should they eventually gain the throne. While they may harbour some positive feelings towards Illyrio for helping them with the Drogo alliance, they always thought of Varys as an enemy. And as Ser Jorah points out once to Daenerys, Illyrio sold Daenerys to Drogo.

What would happen, should Viserys make it to Westeros at the head of an army of Dothraki? Well, for one thing, as Ser Jorah (again) points out, nothing unites a kingdom like a foreign army invading: It would unite the supporters of house Baratheon. Dorne might still support Viserys, since Prince Doran hates Tywin Lannister, which would mean civil war.

We know that in ADWD:

Jon Connington and The Golden Company

did expect Viserys "at the head of an army of dothraki screamers". Although it does sound as though they expect him to be on their side.

Here, it seems to me that the logic is at an impasse: If Varys & Illyrio were to say: "Oh hay, king Viserys, meet king Aegon, your nephew, and -ahem- the rightful heir. We've been keeping him safe and grooming him to assume the throne you always thought was yours. Sorry about not keeping you safe during all those years by the way." -- which they almost would have to -- then Viserys would surely be furious. In any plan that involves both Aegon and Viserys to be alive and in charge of some army, it fails on that simple point: Varys & Illyrio have neglected and endangered Viserys and Daenerys for almost all their life, while they have been coddling Aegon. There is no way to mitigate or explain away this fact. So in essence, we have: If they want Aegon involved, then they would have to expect Viserys to be their enemy. And we know from ADWD that Illyrio did not really expect Daenerys to survive.

But as we know above, they expected Viserys and the army of dothraki on their side...? To me this seems like a crack in GRRM's logic. He started out with the rightful heirs on the run, and ended up with them clashing with the hidden claimant. Like I began to say, this is probably because the major plotline was intended for the much shorter time span of a trilogy. When drawn out and extended, it looks a lot more flawed.

One possibility that might tie everything together would be if we went back to what Jorah said about an invading army uniting the kingdom, and in passing take a quick glance at Stannis in ASOS, when he tells Samwell Tarly why he came to the Wall

“If not for my Hand, I might not have come at all. Lord Seaworth is a man of humble birth, but he reminded me of my duty, when all I could think of was my rights. I had the cart before the horse, Davos said. I was trying to win the throne to save the kingdom, when I should have been trying to save the kingdom to win the throne.”

When looking at the hard facts, Viserys and Aegon would have been competitors, and with the addition of Varys secretly supporting Viserys while neglecting and actively opposing Viserys as Robert's master of whisperers, they would be enemies. So Varys sets up Viserys to invade with a dothraki army, a young, arrogant and not well liked Targaryen. The kingdom unites against him, and war (and possible civil war) breaks out. Who should emerge at this time but king Aegon, who was not, after all, dead. He rides with quite esteemed allies (spoilers ADWD):

The Golden Company, returning in glory, Jon Connington -- Rhaegar's hand and friend -- and Septa Lemore aka Ashara Dayne and other incidental allies, such as Tyrion.

..to save the kingdom and defeat Viserys. As such, the plan would be masterful. Keeping Viserys alive would support Aegon being alive: If one Targaryen escaped, why not another? If they had instead been dead and gone all these years, it would be all that much harder to claim Aegon was the real deal. And what better way to come back to Westeros in style, than to rid the kingdom of the vengeful Viserys and his dothrakis?

Anyway, that is one thought one could have on this topic. It is a difficult obstacle to get past, that Varys & Illyrio supported both claimants to the throne. One thing that is clear, though, is that Aegon is the one they favour, the one they intend to rule. It is tempting to suspect a Blackfyre conspiracy here. For example:

  • The Blackfyres have made a great many attempts to seize the throne before, but has been thought to have been finally stopped when Ser Barristan slew Maelys the Monstrous, ending the line of Blackfyre pretenders.
  • The Golden Company's expressed goal is to reinstate a Blackfyre heir to the throne.
  • Varys shaves his head, much like Egg, from the Dunk & Egg novellas. Could be to hide Targaryen coloured hair.
  • Varys is from Lys, the same place Shiera Seastar came from, known lover of both of the brothers and enemies Brynden "Bloodraven" Rivers and Aegor "Bittersteel" Rivers -- the founder of The Golden Company.

We know that the Mad King Aerys II sent for Varys, because he was anxious about hidden enemies. Aerys finally was consumed by paranoia, by many accounts egged on by Varys "always pointing out new enemies", and finally Aerys' reign was ended. At this point, Varys could select any boy with the right look and claim it to be Aegon. If he is indeed related to Shiera Seastar, and an ally or relative of Bittersteel, he could pick a Blackfyre baby.

There are many tangible clues to the Blackfyre theory. But as of yet, it is premature to assume there is any merit to it. It is always fun to speculate, though.

One would have to wonder what revelations Bran will have in the upcoming The Winds of Winter, considering who his mentor is. Spoiler ADWD mystery:

Bran's mentor is Bloodraven, Maester Aemon's uncle and Bittersteel's brother

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We don't know exactly what Varys and Illyrio's plan was. Their original plan must have been modified anyway, to adapt to unforeseen events such as the deaths of Viserys and Drogo.

There are at least two clear reasons to support Daenerys as well as Aegon:

  • Distraction: So long as Daenerys is known for a fact to be alive, Robert Baratheon and his successors will worry about her, and not about the possibility that Rhaegar's children might have survived.

  • Marriage: Given the Targaryen custom of incestuous marriage, it is quite possible they planned to marry Aegon to Daenerys.

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Another possible reason is that its always best to have a back up. They may not have favored Aegon at the start since he was a baby, but after finding out Viserys was stupid they may have started to lean more and more towards Aegon. Essentially though it appears that the over all plan is to restore the Targaryens to the throne, and having:

  1. The son of the previous King therefor the rightful heir.
  2. The son of the previous heir.
  3. Finally the daughter of the King.

This gives them 3 shots, 3 choices for a new Targeryen ruler.

Even after they had decided they preferred Aegon over viserys it is but a simple thing, to after Drogo conquers westeros to simple kill Drogo and Ciserys and marry Aegon to Daenerys. (Since they are no strangers to Assassination)

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