From A Wiki of Ice and Fire
Deep Lake is a castle along the Wall. The castle was abandoned some time ago by the Night's Watch due to the order's manpower shortages.
The castle sits next to a green lake seven miles east of the Nightfort. It was first built during the reign of Jaehaerys I as a smaller, cheaper replacement for the Nightfort. Queen Alysanne Targaryen convinced the Night's Watch to replace the older castle. Deep Lake was paid for by Queen Alysanne and built by the men that her husband Jaehaerys I, sent north. To the east of Deep Lake sits Queensgate.
A Clash of Kings
Qhorin Halfhand suggests that the Night's Watch re-garrison Deep Lake in an effort to extend the Watch's defense of the Wall.
A Dance with Dragons
Lord Commander Jon Snow re-garrisons Deep Lake with wildlings under the command of of a member of the Night's Watch.
References and Notes