A folly is an event held in the fighting pits of Slaver's Bay where beasts are pitted against slaves who have no means of actually fighting to save their lives, such as small children, dwarfs or crones. The Ghiscari consider these events humorous.
A Storm of Swords
In Astapor, when Daenerys Targaryen is inspecting the Unsullied soldiers that she is considering purchasing, Kraznys mo Nakloz asks her if she wishes to view their fighting pits. Kraznys tells her that Douquor's Pit has a "fine folly" scheduled for the evening – a bear and three small boys. One boy is to be rolled in honey, one in blood and one in rotting fish. Dany can wager on which the bear will eat first. Dany declines the invitation.
A Dance with Dragons
During the reopening of Daznak's Pit in Meereen, Tyrion Lannister and Penny, slaves of Yunkish Wise Master Yezzan zo Qaggaz perform their mock joust for Queen Daenerys Targaryen. Unbeknowst to them, lions are about to be set loose on them but Daenerys forbids it after finding out.