Torture is the act of deliberately inflicting physical or psychological pain on a person in order to fulfill some desire of the torturer or compel some action from the victim.  It is also referred to as “tickling” or "being put to the question" in Westeros.
The dungeon of the Red Keep’s lowest level is used for torture. It is supposedly safer to go through the fourth level of the dungeons in darkness, because there are things one would not wish to see.
The Dreadfort is ill-omened, for it is said that the Boltons still keep torture chambers and a special room where they hang the flayed skins of their enemies, including several Kings in the North from House Stark.
The Lord Confessor was a position of in the royal court in the Seven Kingdoms under the rule of House Targaryen. The Lord Confessor served as the royal torturer and was overseen by the King's Justice. There hasn't been a Lord Confessor since the reign of King Daeron II Targaryen.
Some torture methods
- removal of tongue
- removal of eyes
- flaying 
- Burning with red hot irons
- King Tyrion II Lannister, the Tormentor - his true delight was torture.
- Tyanna of the Tower
- Larys Strong
- The Tickler - a soldier and expert torturer serving Gregor Clegane.
- Pretty Meris - serves as the Windblown's torturer.
- Qyburn - can do wonders and horrors with his torture
- Ramsay Snow 
- Garth - a gaoler, headsman and torturer in the Wolf's Den
- Gregor Clegane - passes the time at Harrenhal by cutting off Vargo Hoat's limbs piece by piece over an extended period of time.
Some characters tortured
- Prince Viserys Targaryen
- Ser Terrence Toyne.
- One of King Aerys II Targaryen’s mistresses - blamed for the death of Prince Jaehaerys
- Ser Glendon Flowers – charged and tortured for the theft of a missing dragon egg, 
- The Blue Bard – driven mad from torture at the hands of Qyburn
- Theon Greyjoy – tortured mercilessly by Ramsay Snow
- Marillion – tortured into confessing that he killed Lysa Arryn
- Osney Kettleblack
- Falyse Stokeworth – Falyse dies screaming in the black cells due to Qyburn's torture and experiments.
A Clash of Kings
The Tickler is one of Gregor Clegane's men-at-arms, the group that captures Arya Stark, Gendry and Hot Pie in the Riverlands. The Tickler tortures the smallfolk of the Riverlands on the orders of Gregor, trying to gain information on the whereabouts of Lord Beric Dondarrion and any food and valuables they might know the locations of. For this, Arya adds him to her list.
A Storm of Swords
Harwin asks Arya Stark if she know what it means to be put to the question. Arya nods and tells him that its called tickling and tells him and the other outlaws about what happened at the village by the God's Eye with the Tickler.
Lord Roose Bolton delivers a piece of Theon's skin to King Robb Stark and his mother, Catelyn Tully, shortly before the Red Wedding. Theon is reportedly being flayed alive by Ramsay Snow, the Bastard of Bolton, at the Dreadfort.
A Feast for Crows
Qyburn joins the court at King's Landing. Cersei Lannister has Qyburn torture the Blue Bard in the black cells, to convince him to give evidence against Queen Margaery Tyrell. The torture so breaks his mind that even after the Blue Bard is delivered to the High Sparrow and whipped, he persists in the story that Cersei and Qyburn had taught him.
During his torture, the Blue Bard is forced to list those he claims are Queen Margaery's secret lovers. Among them is Ser Osney Kettleblack who, under Cersei's instructions, goes to the High Sparrow to confess. The High Sparrow has Osney tortured to verify his confession. Under that duress, Osney tells a different story, which implicates Cersei in the death of the previous High Septon and in having sexual relations with Osney.
A Dance with Dragons
Lord Regent Kevan Lannister visits Cersei in her cell, and tells her that Qyburn is still in charge of the dungeons where most of the accused lovers of Margaery Tyrell are held. Cersei is pleased to hear this, as Qyburn can do wonders and horrors with his torture.
Old Bill Bone tells Frog that Pretty Meris can stretch out a man’s dying for a moon’s turn. Books tells Frog a rumor that Daenerys Targaryen has had envoys tortured. When Gerris Drinkwater, Archibald Yronwood and Quentyn Martell discuss the possibility of deserting the Windblown Gerris's mentioning of being given to Pretty Meris as punishment gives Quentyn pause.
According to Ser Justin Massey, on Dragonstone Ser Clayton Suggs would gamble with the torturers and lend them a hand in the questioning of prisoners, especially if the prisoner were a young woman.
Penny tells Tyrion Lannister that her brother Oppo decided they should leave King's Landing the night of the Purple Wedding before someone wondered if they'd had some part in the king's death and decided to torture them to find out.
Due to the torture he endured at Ramsay's hands, Theon Greyjoy's appearance has dramatically changed. He looks as if he has aged forty years and several of his teeth have been knocked out; many more are loose meaning Theon cannot eat without suffering agony. Theon has lost three stone in weight, his skin has turned pasty, and his hair is white and brittle. He can no longer use a bow due to the loss of some fingers and he hobbles like an old man due to the loss of several toes. Theon is mentally and physically broken by Ramsay Snow and lives in terror of him.  His sister Asha Greyjoy, who is a captive with Stannis's army, barely recognizes her brother Theon.
No one ever survived the Tickler’s questioning; No man. No woman. No child.
– Arya Stark's thoughts
– Arya Stark's thoughts
When you're done drinking you'll tickle the inkeep to see where he keeps his gold. The way you always do.
References and Notes
- A Storm of Swords, Chapter 22, Arya IV.
- A Storm of Swords, Chapter 77, Tyrion XI.
- A Game of Thrones, Chapter 53, Bran VI.
- A Dance with Dragons, Chapter 29, Davos IV.
- A Feast for Crows, Chapter 27, Jaime III.
- The World of Ice & Fire, Beyond the Free Cities: The Basilisk Isles.
- A Dance with Dragons, Chapter 12, Reek I.
- The World of Ice & Fire, The Black Blood.
- A Storm of Swords, Chapter 11, Jaime II.
- A Game of Thrones, Chapter 15, Sansa I.
- A Feast for Crows, Chapter 10, Sansa I.
- A Dance with Dragons, Chapter 11, Daenerys II.
- The World of Ice & Fire, The Westerlands.
- The World of Ice & Fire, The Targaryen Kings: Maegor I.
- A Storm of Swords, Chapter 49, Catelyn VI.
- A Storm of Swords, Chapter 74, Arya XIII.
- A Storm of Swords, Chapter 67, Jaime VIII.
- George R. R. Martin's A World of Ice and Fire, Aegon IV Targaryen.
- George R. R. Martin's A World of Ice and Fire, Aemon Targaryen.
- The World of Ice & Fire, The Targaryen Kings: Aerys II.
- The Mystery Knight.
- A Dance with Dragons, Appendix.
- A Clash of Kings, Chapter 26, Arya VI.
- A Feast for Crows, Chapter 39, Cersei IX.
- A Feast for Crows, Chapter 43, Cersei X.
- A Dance with Dragons, Chapter 25, The Windblown.
- A Dance with Dragons, Chapter 62, The Sacrifice.
- A Dance with Dragons, Chapter 33, Tyrion VIII.
- A Dance with Dragons, Chapter 47, Tyrion X.
- A Feast for Crows, Chapter 21, The Queenmaker.
- A Dance with Dragons, Chapter 2, Daenerys I.