From A Wiki of Ice and Fire
Chroyane, nicknamed the festival city, was once the richest and most splendid of the cities along the Rhoyne. Its streets were said to be made of water and its houses of gold. It contained the colossal Palace of Love, a magnificent island fastness. At some point, however, Chroyane fell into ruins, probably during the war of the Rhoynar and the Valyrian Freehold prior to the Rhoynish invasion of Dorne.
According to legend, men of Volantis and Valyria hung Prince Garin in a golden cage after defeating the Rhoynar. Garin allegedly called upon Mother Rhoyne to destroy the invaders with a curse; that night the river's waters rose to destroy the Volantenes and Valyrians. The spirits of the drowned lords of fire are said to remain beneath the water, however, and their cold breath rises to become fog. 
Chroyane is now known as the Sorrows. Mists rule the area and people infected with greyscale roam the ruins. They are called stone men, and the mists are said to be ruled by the enigmatic Shrouded Lord. 
Sunken architecture and statues pose threats to passing boats. Many travelers become lost in the thick fog, eventually succumbing to madness, hunger, greyscale, or stone men.
There has not been law above the Sorrows for a thousand years, so pirates are common in the Rhoyne north of the Sorrows, although they do not enter the ruined city. Volantene galleys patrol the river south of the Sorrows.
A Dance with Dragons
Tyrion Lannister travels with the crew of the Shy Maid through the Sorrows, meeting the Kingfisher and observing the Palace of Sorrow. They sail unscathed beneath the Bridge of Dream, but despite sailing with the current of the Rhoyne, they appear to approach the Bridge of Dream again shortly afterward. They are attacked by stone men during their second voyage past the bridge; Tyrion saves Young Griff from a stone man, but is dragged into the cold Rhoyne. Griff rescues Tyrion from drowning, but Tyrion's savior is later revealed to have been infected with greyscale in the process.
Chapters that take place at the Sorrows
|“||This was the most beautiful city on the river, and the richest. Chroyane, the festival city.||”|
|“||Too rich, too beautiful. It is never wise to tempt the dragons.||”|
References and Notes