From A Wiki of Ice and Fire
The sky cells are the Eyrie's dungeons. They are particularly infamous; they are merely shelves on the side of the mountain's sheer cliffs, left open to the cold sky. Mord is a gaoler of House Arryn in charge of the upkeep and maintenance of the sky cells.
The Arryns keep the only dungeon in the Seven Kingdoms where the prisoners are welcome to escape at will – by jumping to their deaths. Many prisoners, driven mad by the cold and howling wind, commit suicide rather than remain imprisoned.
It is cold in the sky cells with the wind screaming night and day, but the only bedding is a thin blanket. The floor slopes slightly, unnerving prisoners. A cell is miserably small; five feet away, where a wall would be in a proper dungeon, the floor ends and sky begins. Six hundred feet below is the waycastle Sky.
A Game of Thrones
Tyrion Lannister is imprisoned in the sky cells by Lysa Arryn. During the first day he cautiously looks around, seeing the waycastle Sky below and other cells to his right and left and above him. Tyrion is afraid he will slide to his death if he rolls over in his sleep.
A previous tenant has written, in what looks suspiciously like blood,
|“||Gods save me, the blue is calling.||”|
To escape the sky cell Tyrion demands trial by combat. Bronn volunteers to champion him in the trial and kills Ser Vardis Egen, saving Tyrion's life and securing Tyrion's freedom. Both men leave the Eyrie on the dangerous high road.
A Feast for Crows
After he has been arrested Marillion is tortured into falsely confessing that he killed Lysa Arryn. Petyr Baelish has Marillion repeat his confession that he killed Lysa in front of Nestor Royce and then confines him to the sky cells.  During his imprisonment he sings the song "Fallen Leaves". Petyr later claims that Marillion has died.
|“||He was a bee in a stone honeycomb, and someone had torn off his wings.||”|