Trios is a three-headed god worshipped in Essos. There is a large statue of him near the Temple of Trios in Tyrosh. There is also a tower with three turrets dedicated to Trios in Braavos.
Penny recalls to Tyrion Lannister that an elderly dwarf was cut into three parts and pushed inside the mouths of Trios at the temple in Tyrosh.
The Sailor's Wife once told Arya Stark that the first head of Trio devours the dying and the reborn emerge from the third, but she did not recall the purpose of the middle head.