One of the more interesting points (to me) about A Song of Ice and Fire (a.k.a Game of Thrones) is the role that religion plays in the series.
The principal religion of Westeros is called simply the Faith, and it is belief in the Seven. This religion, in many ways, mirrors the hierarchical structure of the Roman Catholic Church, what with monks and nuns and priests and a pope, and in some other ways, such as the prevalence of ceremonies and shrines and points of dogma. The theology of this religion, in terms of their being seven gods who are one god, was supposed to mimic slightly the Christian notion of the Trinity (which, btw, it doesn't, but that's neither here nor there). Even though the seven gods are all said to be one, there are in fact seven of them, and they are seven gods, making this religion polytheistic. The seven gods are the Father, the Mother, the Maid, the Crone, the Warrior, the Smith, and the Stranger, each of which is meant to represent some aspect of human life. The weirdest of these, most definitely, is the Stranger. Holders of the Faith are often afraid of the Stranger; his image on a wall in a sept gives Catelyn chills during her prayer to the Seven. The Stranger represents, amongst many other things, death and dying, and for this reason is worshipped at the House of Black and White. Midway in to the fourth book, the Faith undergoes a kind of Protestant Reformation as the Sparrows lead and uprising to kick out what they see as corrupt septons and put in place their own High Septon to make reforms and turn back to a more pious worship of the Seven.
The next most influential religion is usually called just the old religion, and is a belief in the old gods. These gods are worshipped at the weirwoods which it turns out have psychic time-travel abilities that can allow particular people to view and interact with the past. This was the original religion of the Children of the Forest (a.k.a the Singers of the Song of Earth) that they taught to the First Men, and it is still retained mostly in the North. The Starks hold to the old gods, as do most other Northmen, even the Wildlings. This religions is also polytheistic, or animistic, or maybe pantheistic; the old gods have no names, and really no distinguishing properties, besides that they are worshipped at trees. As you will find out, the old gods are mostly wargs like Bloodraven and Bran communicating with the past by controlling the weirwoods
The only other religion with any sway in Westeros is the one of the Iron Islands, the belief in the Drowned God. This is a dualistic religion; there is the Drowned God who died for the people of the Islands, to save the from the Storm God, who sinks their ships and kills their men at sea. The good deity of this religion is believed to have literally drowned and died to defeat the evil Storm God. So far as I remember, the Drowned God is actually dead, but due to being dead he is stronger; what is dead cannot die. They have a ritual very similar to baptism, involving a symbolic "drowning" that youth and converts undergo, whereby they also drown and die and then come back to life. In more moderate versions, this is similar to sprinkling at infant baptisms, done to newborns on their name day. In the more extreme forms, such as those practiced by Aaron Damphair, converts are literally drowned until they die, then a crude form of CPR is performed to resuscitate them to life.
Those are pretty much the only religions on Westeros, with maybe some slight difference. However, due to the travels of various characters to Essos, we learn about several other religions.
The most prominent of these in the series is the worship of R'hllor, the Fire God, worshipped by the red priests such as Melisandre and Thoros. But as I want to make a much longer point about R'hllor, I'll come back to this.
The Dothraki practice a kind of animism. Their gods are horse spirits and the spirits of conquering kings. Animist religions don't tend to have a lot of theology as a rule, and if the Dothraki have any at all then it isn't mentioned.
The Shepherd people practice what is arguably the only form of monotheism in the series. They worship the Shepherd, of whom we are all children and sheep. The practitioners of this religion are described as peaceable and unwarlike, preferring to just be alone and look after their sheep, similar to how the Shepherd is believed to watch after them. Even though they're described as peaceful and unwarlike, the Shepherd people are known to fire their arrows at raiding Dothraki, and so are not actually pacifist. Maybe I'm being self-flattering, but to me this religion had the most parallels with Protestant Christianity.
There is brief mention of a pacifistic people who worship a Butterfly god. While the Shepherd people will use violence to defend themselves, the inhabitants of the island worshipping the Butterfly god will not. One of Dany's scribes came from the island of these people, and she claims that the Butterfly god looks after them and keeps the slave ships from landing on their island.
The ancient Valyrian's believed in a pantheon of gods, some of whom are named in the series, but as Valyria is dead and their empire destroyed, little of that religion remains.
Then there is the House of Black and White. This is set up as a temple to Death. People come there to commit suicide, or to hire assassins to murder people. The adherents of this temple honor death in all of its forms, and worship it in all the ways it has been worshipped in all religions. One of their chief philosophies is that in all regions, in all times, people have honored Death as a god, and that as death claims everyone, death is the chief god worth serving. Their temple is full of statues depicted various forms of death gods in various religions. One of these is the Stranger from the Seven, along with many others.
So those are the various religions in the series, or at least as many as I can remember. The Free Cities practice freedom of religion and there are innumerable gods and religions honored in them, so there are certainly many more even if not explicitly mentioned in the series. Still, that's enough for now to make my point.
Let's go back to R'hllor. I skipped him earlier.
R'hllor is the principal god of the religion of the red priests, which is arguably dualistic. R'hllor is the god of fire, and thereby heat and thereby life and light. He is in battle against the evil god known only as the Other, the god of cold and darkness and death.
The first believer in R'hllor that we encounter is arguably Thoros. Of course, Thoros isn't exactly the paragon of piety and so we never hear about the god of fire from him in the first book; Thoros is described simply as a red priest from the East who likes to set his sword on fire during tournament battles and get drunk. I didn't even realize he was a different religion from the Faith until the third book.
But in the prologue of the second book we encounter Melisandre. Most people hate her character (mostly because she's fervently religious), but I find what she represents highly intriguing. She first comes on to the scene being challenged by an old Maester of the Faith, who attempts to poison her to save his beloved king Stannis from falling in with the unknown demon she preaches about. The Maester wants to sneak poison in to her goblet, but failing to do so, he places it in his own and invites her to the center of the room to drink from his in a toast of friendship. Uncannily, Melisandre knows what he is doing, and offers to let him back down, but she takes his challenge, chugs the poison, then offers the cup to him; he drinks it and dies with one sip. She can drink poison and not be harmed, as well as know the intentions of people trying to kill her, and, as we learn, do many, many other things.
She leads the people on Dragonstone in burning their statues of the Seven and converting over to R'hllor, and in this she declares Stannis to be Azor Ahai Come-Again, a prophesied hero of legend who is destined to return and slay the Other. While most readers very quickly grew to hate her (because, as I said, she's fervently religious), readers also really latched on to his idea of who is the real Azor Ahai. It's pretty clearly not Stannis, despite what Melisandre believes, so who is the prophesied hero of legend? Is it Dany? Is it Jon Snow?
Then we go back to Thoros and the Brotherhood Without Banners, led by Beric Dondarrion. At this point in the book, I was all about Dondarrion, and I'm kind of disappointed at where this went, but now I see how it was necessary. Beric has been leading the common people in revolt against the nobles who are murdering them and pillaging their villages, and we find out that in fact Beric is dead, and has died many times since. Each time, Thoros, the red priest, calls upon the fire god R'hllor to revive Beric and Beric actually comes back from the dead. That's how the BWB are able to keep fighting, even when their valiant leader is slain on the field, and is a constant source of confusion with the enemy.
And here is where there is some ambiguity. Everyone hates Melisandre (and really, considering her shadow demons, she's pretty horrifying) and can't stand her prattling about the "Lord of Light", but by this point Thoros is using the power of R'hllor to revive one of the more honorable people in the series to destroy the wicked noblemen and their cruelty to the small people. Same religion, same god.
As we keep going, we learn all of the things that red priests can do. Beric can slit his hand on his sword and turn it in to a blade of burning fire. Thoros can bring back the dead by breathing in to them. Melisandre especially can drink poison, see the future in the fire, curse people to literal death by throwing leaches in to a fire, and birth terrible shadow monsters that can assassinate others. The red priest on board Victarion's ship is able to cure Victarion's wounded hand that the other Maester was going to cut off, and replace it with a blackened, burnt cinder that is even stronger and more capable than the original hand. The red priests have such incredible power, they know what ship to get their guy on so that he winds up shipwrecked in a storm and floats by in front of the boat that is going to bring him to Dany, who they suspect may be Azor Ahai.
Here's my point, really. As interesting as the Seven and the Drowned God and the Shepherd may be, there is a clear winner here. Even if you hate Melisandre and even if you hate Victarion, and even if you hate everything the red priests stand for, R'hllor is real. In the world of Westeros, there is in fact a deity named R'hllor, who is worshipped by the red priests, who in fact has actual power as demonstrated again and again in the series.
And we sort of already know this, too. I don't think there are many readers who consider the prophecies about Azor Ahai to be bunk; nearly every fan speculation I have seen operates as if the prophecy is absolutely going to happen, Azor Ahai is absolutely going to be born again (most likely in the timeframe of the series) and is totally going to defeat the Other. We all know that R'hllor is real, and even if we hate all of his followers, we know that his prophecy is about a good guy who is going to do good things, probably either Dany or Jon Snow.
When you compare this to, say, the Seven, who can't do jack, you have to wonder why there is anyone at all in the world who does not believe in R'hllor?
Like, seriously. It is reported in 1 Kings 18 that Elijah the prophet challenged the priests of Baal to a competition; the god who could send fire from the sky to consume an offering was the real god. When the Baals fail despite their best shouting and cutting of themselves, and when God sends fire that consumes the sacrifice, the point of Elijah is immediately and clearly made; there is one God, Yahweh, and he's real, while the Baals are fake. If this sort of thing happened with any regularly, there would probably be much fewer atheists and many more Christians and little need for religious dialogues or debates.
And this is what Melisandre does; she drinks poison and the Maester drinks poison, she lives and he dies, and then she burns the dumb and silent statues that are supposed to be gods and can't even save themselves from a fire. Maybe you think that's mean, or intolerant, but she has a point; R'hllor is real and the Seven are just worthless idols.
Are the Seven real? Davos Seaworth, close to death, reports hearing the Mother speak to him, asking him to avenge them. And maybe he really did hear her, or maybe he imagined it, but Melisandre can flippin' throw a bug in to a fire and kill Davos where he stands. Even if the Seven are real, there is a clear winner here.
You would think that the red priests would have a much easier time spreading their religion, given their powers and abilities; in fact, almost anyone who sees what they can do does quickly join on in belief (such as Stannis' men or Victarion). But this isn't a new religion; so why haven't they spread further? Why are their people in Volantis who openly reject what is arguably the only real deity with any obvious displays of power in the entire series?
I think that to answer that, you need to dig a bit deeper in to what the House of Black and White believes.
I mean, arguably R'hllor isn't the only god with power. The members of the HoBaW have some abilities as well; it's what helped them escape slavery in the fire mines, and it's what helps them assassinate today. And among the various forms of Death worshipped at the HoBaW, one of them must be the Other, the evil god opposed to R'hllor. The Other, pretty clearly, has some connection to the Others; after all, there's the name, but also the Others are associated with cold, darkness, and death, just like the Other, and just the opposite of the traits given to R'hllor.
I'm just hypothesizing, but I think that the Stranger, or the Other, or whatever other names exist for him, might also be real. I don't think we know enough to know the full extent of what the Stranger is, or his connection to the Others, or his connection to the Children of the Forest, but I suspect that it goes back much deeper than is currently obvious. The other six of the Seven likely aren't real, the stuff about the great Shepherd probably not either, and who knows about the Butterfly god; but R'hllor is real, and therefore his enemy the Other must be real, and the Other is almost identical to the Stranger.
To cut to the chase, when it comes to why more people don't worship R'hllor, I think the answer is this: R'hllor is the evil one, the Great Other is the good one.
The Prince That Was Promised... was not promised to us.