Walk of atonement
A Walk of Shame or a Penance Walk is a punishment in the Westeros usually reserved to punish, humiliate and shame a woman publicly for either adultery or whoring. The act is usually performed as both a punishment and a way to degrade a woman and rob her of her pride and power.
When Tywin Lannister father Tytos died. Tywin found his father's mistress trying on one of his late mother's gowns. A common-born woman and the daughter of a chandler, the mistress dominated Tytos utterly, ordering about the household knights and dismissing servants and helping herself to his late wife's jewelery. Tywin had her stripped naked and forced the sobbing woman to perform a Walk of Shame through the streets of Lannisport to confess to every man she met that she was a thief and a harlot before banishing her from the Westerlands. The walk spelled an end to her power. 
A Dance with Dragons
Cersei Lannister is forced to perform a Walk by the High Septon of the Faith of the Seven from the Great Sept of Baelor to the Red Keep. Cersei is shaved of hair from her entire body, then stripped naked. Just prior to the walk. An escort of Warrior's Sons, Poor Fellows, and several septas protect her from the leering and jeering crowds that have flocked to see her shame.
The wickedness of women is well-known, and all women are wantons at heart, given to using their wiles and their beauty to work their wills on men. 
- The High Sparrow to Cersei
- Kevan Lannister after his nieces Penance Walk
They think that this will break my pride, that it will make an end to me, but they are wrong. 
-Cersei Lannisters thoughts during the Walk.
- Customs for additional information on customs and traditions of westeros.