From A Wiki of Ice and Fire
The Bloody Gate is a series of battlements placed across the mountain road that leads into the Vale of Arryn from the Mountains of the Moon. There are two long parapets built into the stone of the mountains. The pass, narrow where it meets the gate, is watched over by twin watchtowers, which are joined by a covered bridge of grey stone that arches above the road. The Bloody Gate is located southwest of the Eyrie and northwest of the Redfort.
During the Age of Heroes, a dozen armies smashed themselves to bits upon the Gate. Many a year later, during the War of Conquest, Visenya Targaryen was charged with subduing the Vale. Sharra Arryn, Queen Regent of the Vale of Arryn, who ruled in her son's name, the boy-king Ronnel Arryn, amassed the Vale's army at the Bloody Gate, to take the battle to House Targaryen. Visenya, however, simply bypassed the gate and flew on her dragon Vhagar straight up to the courtyard of the Eyrie to obtain the surrender of House Arryn.
A Game of Thrones
When Catelyn Tully brings Tyrion Lannister to the Vale of Arryn, Ser Brynden Tully meets her at the Gate after a sortie led by Ser Donnel Waynwood saves her party from the mountain clans. Brynden resigns his title of Knight of the Gate to return to Riverrun.