Spoilers for the books and the show.
Let's look at the old gods of the north. For much of the story we're told that the men of the north, including the wildlings, hold to the old gods- the spirits of tree and stream, of earth and sky. However in A Dance with Dragons we learn that the weirwood trees are inhabited by the spirits of departed greenseers- those rare skinchangers who can see through the weirwood faces and also through ravens. So are there "old gods" as we think of gods, or are the gods of the north just Children of the Forest living on in their sacred trees?
To be honest I was a little disconcerted by this. The Starks hold to the old gods, the traditions of the north, as do many other houses, and they seem to have a mystical bond with their direwolves as well. It just seems weird to think that the north worships dead, precognitive elves rather than a deity or deities- and they don't have a clue. Imagine the consternation if they find out!
"A reader lives a thousand lives before he dies," said Jojen. "The man who never reads lives only one. The singers of the forest had no books. No ink, no parchment, no written language. Instead they had the trees, and the weirwoods above all. When they died, they went into the wood, into leaf and limb and root, and the trees remembered. All their songs and spells, their histories and prayers, everything they knew about this world. Maesters will tell you that the weirwoods are sacred to the old gods. The singers believe they are the old gods. When singers die they become part of that godhood."
R'hllor is a different thing entirely. The red god of the priestess Melisandre, we don't learn much about this faith other than its affinity for fire until, again, in A Dance with Dragons we see their temples and learn that Benerro, the high priest in Volantis, is opportunistically siding with Daenerys in her crusade against slavery. And we meet another priest, Moqorro, who uses sorcery or some kind of power to survive and "heal" Victarion Greyjoy. Is R'hllor a god in the usual sense, or a fire being of some sort that uses the mortals who worship it for its own purposes?
The Seven of Westeros are a little more abstract, or aloof. We don't get any sense that they are interfering in affairs- greenseers can apparently act to some extent through their trees or ravens, R'hlor's priests are causing all kinds of mischief, but septons of the Seven do not seem to be manifesting any powers. The Faith militant does take power in Kings Landing, but that's clearly ambitious people at work, not divine intervention. At least that we know of. So this does seem to be more of a case of fantasy gods being kept at arms length, not impacting the story in a serious way.
The Many Faced God in Braavos, or the Drowned God of the Greyjoys, are similar. The Faceless Men talk about serving the Many Faced God, but from all accounts they are running a well-oiled death cult - there is no indication the Many Faced God is actually doing anything. And the Drowned God certainly doesn't seem to be doing much, although one could argue the point since Aeron "Damphair" Greyjoy sometimes hears things in the waves, and the men they drown are brought back to life. But I just think Aeron's crazy and the rescuscitation is a rather unorthodox (and unrealistic) case of CPR.
One interesting wrinkle is the theory that the Drowned God is not a god at all, but a monster from the depths that will rise when Euron Greyjoy makes a blood sacrifice. This is the eldritch apocalypse theory by Poor Quentyn and it's very compelling. Aeron may indeed see his "god" arise, although it's not a god he's expecting to see!
So... what do you think? Are the "gods" real? Or are they just aloof and unknowable and maybe certain creatures are using religion for their own ends? And what do you think of the eldritch apocalypse theory?