The Great Other, also known as the Other, the Lord of Darkness, the Soul of Ice, and the God of Night and Terror, is a god considered the enemy of R'hllor, the Lord of Light. His true name is never spoken.
Followers of R'hllor believe that there are only two gods, the Lord of Light and the Great Other, who wage an eternal war over the fate of the world. Darkness, cold, and death are believed to be servants to the Great Other, while shadows are considered servants of R'hllor. Red priests believe that they have been given the power to see through falsehoods of the Other's servants. Melisandre believes her enemy has black eyes, and she thinks that no man could survive looking upon the cold, frightening visage of the Great Other.
A Clash of Kings
A Storm of Swords
A Dance with Dragons
Melisandre resists sleeping at the Wall, believing that dreams are whisperings of the Other who would drag humanity into his eternal night. When gazing into her fires, Melisandre sees a white wooden face, a thousand red eyes, and a howling boy with a wolf's face beside him. She thinks they must be the Other's champions, as King Stannis is hers.
Davos: Feel how cold the wind is? The guards will huddle close to those torches. A little warmth, a little light, they're a comfort on a night like this. Yet that will blind them, so they will not see us pass. The god of darkness protects us now, my lady. Even you.
Melisandre: Speak not that name, ser. Lest you draw his black eye upon us. He protects no man, I promise you. He is the enemy of all that lives. It is the torches that hide us, you have said so yourself. Fire. The bright gift of the Lord of Light.
The war has been waged since time began, and before it is done, all men must choose where they will stand. On one side is R'hllor, the Lord of Light, the Heart of Fire, the God of Flame and Shadow. Against him stands the Great Other whose name may not be spoken, the Lord of Darkness, the Soul of Ice, the God of Night and Terror. Ours is not a choice between Baratheon and Lannister, between Greyjoy and Stark. It is death we choose, or life. Darkness, or light.
The one whose name may not be spoken is marshaling his power, Davos Seaworth, a power fell and evil and strong beyond measure. Soon comes the cold, and the night that never ends. Unless true men find the courage to fight it. Men whose hearts are fire.
It has been theorized that Night's King was the Great Other's avatar.