For readers of the book, the Prince That Was Promised will be a familiar moniker. The red priestess, Melisandre, has referred to him a few times in the show, having first believed him to be Stannis Baratheon. In the religion of R’hllor, the Prince is the prophesied savior of the world from certain darkness.
The Prince is also known as Azor Ahai, and according to legend he’s already existed in this world once. Thousands of years before the events of the show, he forged a magic sword called Lightbringer by plunging it into the heart of his wife and absorbing her soul into the blade. Uncool as that is, it did allow him to save the world from darkness. The prophecy suggests that after a long summer, when the cold darkness came, Azor Ahai would return.