Lord of the Waters
This information has thus far been released in a sample chapter for The Winds of Winter, and might therefore not be in finalized form. Keep in mind that the content as described below is still subject to change.
Lord of the Waters is the self-fashioned title of a pirate king.
The Winds of Winter
Presumably he is Aurane Waters, former grand admiral to Queen Regent Cersei Lannister, who ordered the construction of a fleet of dromonds and crewed them with criminals, then fled King's Landing with the warships after Cersei's arrest. The title may be a play on Aurane's bastard surname of Waters and one of the titles of his father's house, House Velaryon, Lord of the Tides.