...and there are more than you might think.
Stannis certainly didn't believe in Gods at some point in time between his parents dying and meeting Melisandre. It's not clear if he has started believing again though.
Stannis stood abruptly. "R'hllor. Why is that so hard? They will not love me, you say? When have they ever loved me? How can I lose something I have never owned?" He moved to the south window to gaze out at the moonlit sea. "I stopped believing in gods the day I saw the Windproud break up across the bay. Any gods so monstrous as to drown my mother and father would never have my worship, I vowed. In King's Landing, the High Septon would prattle at me of how all justice and goodness flowed from the Seven, but all I ever saw of either was made by men."
"If you do not believe in gods—"
"—why trouble with this new one?" Stannis broke in. "I have asked myself as well. I know little and care less of gods, but the red priestess has power."
A Clash of Kings, Davos I
Clegane doesn't believe in the Gods, he makes as much clear in a conversation with Sansa.
"Aren't you afraid? The gods might send you down to some terrible hell for all the evil you've done."
"What evil?" He laughed. "What gods?"
"The gods who made us all."
"All?" he mocked. "Tell me, little bird, what kind of god makes a monster like the Imp, or a halfwit like Lady Tanda's daughter? If there are gods, they made sheep so wolves could eat mutton, and they made the weak for the strong to play with."
"True knights protect the weak."
He snorted. "There are no true knights, no more than there are gods. If you can't protect yourself, die and get out of the way of those who can. Sharp steel and strong arms rule this world, don't ever believe any different."
A Clash of Kings, Sansa IV
Tyrion remarks that not all priests actually believe in their Gods and would rather have the ones who don't.
The only red priest Tyrion had ever known was Thoros of Myr, the portly, genial, wine-stained roisterer who had loitered about Robert's court swilling the king's finest vintages and setting his sword on fire for mêlées. "Give me priests who are fat and corrupt and cynical," he told Haldon, "the sort who like to sit on soft satin cushions, nibble sweetmeats, and diddle little boys. It's the ones who believe in gods who make the trouble."
A Dance with Dragons, Tyrion VI
The above implies that Tyrion is certainly unsure about the Gods but the famous quote below pretty much confirms his views.
"The gods made our bodies as well as our souls, is it not so? They give us voices, so we might worship them with song. They give us hands, so we might build them temples. And they give us desire, so we might mate and worship them in that way."
"Remind me to tell the High Septon," said Tyrion. "If I could pray with my cock, I'd be much more religious." He waved a hand. "I will gladly accept your suggestion."
A Clash of Kings, Tyrion III
It is said that lots of Valyrians didn't believe in the Gods and that not believing in them is a sign of an advanced civilisation. Maester Yandel also remarks that the Valyrians that did believe in the Gods changed which one(s) depending on their current situation.
Many Valyrians worshipped more than one god, turning to different deities according to their needs; more, it is said, worshipped none at all. Most regarded freedom of faith as a hallmark of any truly advanced civilization. Yet to some, this plethora of gods was a source of continuing grievance. "The man who honors all the gods honors none at all," a prophet of the Lord of Light, R'hllor the Red, once famously declared. And even at the height of its glory, the Freehold was home to many who believed fiercely in their own particular god or goddess and regarded all others as false idols, frauds, or demons, bent on deceiving mankind.
The World of Ice and Fire, The Free Cities: Norvos
Samwell appears to believe that there are Gods but he's not entirely sure which ones are the true ones.
He turned back to the weirwood and studied the carved face a moment. It is not the face we saw, he admitted to himself. The tree's not half as big as the one at Whitetree. The red eyes wept blood, and he didn't remember that either. Clumsily, Sam sank to his knees. "Old gods, hear my prayer. The Seven were my father's gods but I said my words to you when I joined the Watch. Help us now. I fear we might be lost. We're hungry too, and so cold. I don't know what gods I believe in now, but . . . please, if you're there, help us. Gilly has a little son." That was all that he could think to say. The dusk was deepening, the leaves of the weirwood rustling softly, waving like a thousand blood-red hands. Whether Jon's gods had heard him or not he could not say.
A Storm of Swords, Samwell III
It's not clear whether or not Daenerys believes in Gods as she thinks a couple of things in her chapters that could point towards her not believing but I'm not sure on this.
Ogo and his son had shared the high bench with her lord husband at the naming feast where Viserys had been crowned, but that was in Vaes Dothrak, beneath the Mother of Mountains, where every rider was a brother and all quarrels were put aside. It was different out in the grass. Ogo's khalasar had been attacking the town when Khal Drogo caught him. She wondered what the Lamb Men had thought, when they first saw the dust of their horses from atop those cracked-mud walls. Perhaps a few, the younger and more foolish who still believed that the gods heard the prayers of desperate men, took it for deliverance.
A Game of Thrones, Daenerys VII
Do all gods feel so lonely? Some must, surely. Missandei had told her of the Lord of Harmony, worshiped by the Peaceful People of Naath; he was the only true god, her little scribe said, the god who always was and always would be, who made the moon and stars and earth, and all the creatures that dwelt upon them. Poor Lord of Harmony. Dany pitied him. It must be terrible to be alone for all time, attended by hordes of butterfly women you could make or unmake at a word. Westeros had seven gods at least, though Viserys had told her that some septons said the seven were only aspects of a single god, seven facets of a single crystal. That was just confusing. The red priests believed in two gods, she had heard, but two who were eternally at war. Dany liked that even less. She would not want to be eternally at war.
A Storm of Swords, Daenerys VI