R'hllor is the lord of light and god of fire. He is the antithesis of the god whose name should not be spoken, the Great Other, who commands ice and death.
Two noted followers of R'hllor are Melisandre and Thoros of Myr, who take two very different approaches to their worship. Melisandre uses her power to see the future in fire and birth shadow children who can kill humans; Renly Baratheon fell victim to her. Thoros uses the power of R'hllor to see into the flames and continually revive Beric Dondarrion from death. The prayers of R'hllor state that "the night is dark and full of terrors."
The name R'hllor was coined up by GRRM in his earliest finished fantasy short story. Funny enough, R'hllor was burned to death in the end of the story.