The Old Way is a term used by the ironmen when discussing their ancient tradition of reaving and plunder. Before the War of Conquest, the Ironmen would use lightning raids from the sea to carry away women and plunder and burn what they left behind. Using this method they carved a great kindgom out of the riverlands, though their ships were known from the Free Cities to the southern coasts of Westeros near Oldtown.
During the War of Conquest, Aegon I pacified the ironborn and outlawed the custom, at least within the kingdom, as the ironmen were allowed to prey on the shipping and settlements of the Free Cities and far away places. Those that continue to act in such a manner are said to be keeping to the 'old way.'