In North, incest is considered to be evil and something that brings wrath of Gods.
We see it in ACOK, when Cley Cerwyn comes to visit Winterfell and tells Bran about the truth behind Joffrey's parentage. A Knight in his entourage echoed the thoughts of a common Northman on this matter:
"He's a king now too," Cley confided. "He says Queen Cersei bedded her
brother, so Joffrey is a bastard."
"Joffrey the Illborn," one of the Cerwyn knights1 growled. "Small
wonder he's faithless, with the Kingslayer for a father."
"Aye," said another, "the gods hate incest. Look how they brought
down the Targaryens."
ACOK - Bran II
Conclusive evidence is what Catelyn says:
Bastards were common enough, but incest was a monstrous sin to both
old gods and new, and the children of such wickedness were named
abominations in sept and godswood alike. The dragon kings had wed
brother to sister, but they were the blood of old Valyria where such
practices had been common, and like their dragons the Targaryens
answered to neither gods nor men.
ACOK - Catelyn IV
So we can see, Both the Old Gods and the New hate incest.
Then we also have to consider customs of the True North, beyond the Wall where Firstmen Blood and Old Gods are still strong:
"Longspear's not your brother."
"He's of my village. You know nothing, Jon Snow. A true man steals a
woman from afar, t' strengthen the clan. Women who bed brothers or
fathers or clan kin offend the gods, and are cursed with weak and
sickly children. Even monsters."
ASOS - Jon III
Jon does point out that Craster does incest but Ygritte counters that he is more Jon's kind (Having a Crow for a father) than he is of the Free-folk. Regardless, notice how conscious are the Freefolk about incest. Their definition of Incest includes not just close kins, but also members of the same clan and village. Which no doubt improves their general genepool and gives their offspring a better chance for survival in the harsh north.
The only documented incest we see in Seven Kingdoms is found in Targaryen dynasty after the conquest. Beyond the Wall Craster practises it but he is seen with scorn among the Free folk.
There is nothing in the canon which tells us about current views of the Essosi people, including Valyrian colonies, on incest.
In Days of old Valyria, it did exist but presumably, it wasn't because Essos accepted it as normal, but instead because Valyrians answered to no Gods just like their Dragons. Since the fall of Valyria, we can deduce that the custom fell apart, as we do not see any instances of it in current timeline.
The only instance of non-Valyrian Essosi incest that I can find is in Yi-Ti, that too in history, not current timeline:
The Jade Emperor, the Tourmaline Emperor, the Onyx Emperor, the Topaz
Emperor, and the Opal Emperor followed in turn, each reigning for
centuries...yet every reign was shorter and more troubled than the one
preceding it, for wild men and baleful beasts pressed at the borders
of the Great Empire, lesser kings grew prideful and rebellious, and
the common people gave themselves over to avarice, envy, lust, murder, incest, gluttony, and sloth.
TWOIAF - Bones and Beyond: Yi-Ti
But notice how incest is listed among vices. But then again, TWOIAF is written by a Westerosi Maester so of course he thinks of incest as a vice.
- In the Faith of the Old Gods, Incest is considered a horrible sin and children born of incest are considered abominations.
- There is no conclusive evidence that Essosi people frown upon the practice but there is no evidence that they approve of it either.
1. It is however unclear in the Knights in question followed the Old Gods or the New. Most of the Knights in North belong to the handful of Houses who keep the New Gods. Most of the Houses which worship Old Gods name no Knights but Knights exist among them regardless e.g. Ser Jorah Mormont. Bran himself wanted to be a Knight even though he was a follower of Old Gods. Plus it's Bran's POV, so maybe Bran just thinks anyone who is wearing heavy armor, rides a horse and carries a lance is a Knight. Previously, Catelyn Tully had also thought of Robb as a young Knight even though Robb keeps the Old Gods and there is no evidence of him actually being a Knight.