One of the things I've enjoyed a lot about the novels is the increasingly important role that religion plays in the series as the world expands, and the events of the books become more sharply fraught. In A Game of Thrones, religion mostly seems to have significance as a way of explaining Eddard Stark's character, and the compromises his wife Catelyn made in marrying him. She has to understand that her husband's love for
In fact, prayer to the Seven or the old gods seems almost insignificant. However much Catelyn, Sansa, or Tyrion pray, the outcomes of the events that surround them don't seem to be affected by divine intervention. Joffrey's profanation of the Sept of Baelor when he has Eddard executed there doesn't seem to result in any sort of divine retribution. When he dies, it's as a result of political machinations, rather than any deity's justice or revenge. It's not until the heart tree opens for Bran, Jojen, Meera and Hodor that we really get evidence that gods are active in Westeros.
And evidence wouldn't be that unusual or important if the novels didn't focus on the role the gods of other religions play in the events of the series. It's not totally clear if Melisandre actually is channeling R'hllor, but when she's present, things happen that are beyond the abilities of normal people, wielding normal human abilities. You don't just give birth to shadows that kill people on a regular basis. Religion and magic are all tangled up in her, but the point is less her trueness or falseness and more that Stannis is willing to stake his chances for the throne of the Westeros on her counsel and her vision.
And while I've only read the first couple of chapters of A Feast for Crows, and so while I can't entirely tell what role the Drowned God (or Aeron) plays for the Ironmen, there's evidence for his power, too. Aeron's journey to the underworld may be fictional, or the result of a vision quest or something, but so far the novel seems to be treating it like its literal. And events like the drowning and cardiopulmonary resuscitation of the Drowned God's priests seems like magic, or divine action, in a world where people understand the power of drowning but not its scientific mechanisms.
It'll be interesting to see if the Seven turn out to be the only truly divine gods in Martin's world. The books' approach to religion and to belief is refreshingly un-didactic, but I will be curious as to whether the series ultimately suggests that it's real.