Azor Ahai is a legendary figure in the faith of R'hllor, the Lord of Light. Thousands of years ago, he forged the sword Lightbringer which he used to defeat the darkness of the Great Other. This came at a price, however, as in order to unleash the sword's true powers he had to plunge it into the heart of his loving wife, Nissa Nissa. A prophecy foretells that he will be reborn as The Prince That Was Promised.
You can read more about this prophecy here:
http://gameofthrones.wikia.com/wiki/Azor_Ahai
There are a bunch of candidates/theories around who could be Azor Ahai.
What do you guys think, who is Azor Ahai?
