Argalia Baratheon is an unseen character in Game of Thrones. She is not expected to appear in the series, being long dead by the time it starts. Argalia is the daughter of Argilac the Arrogant, the last of the Storm Kings, and wife of Orys Baratheon, the founder of House Baratheon.
Orys, a commander in the army of Aegon the Conqueror and his bastard half-brother, had been sent by Aegon to seize Storm's End, the ancestral seat of the Storm Kings and capital of the Stormlands. Orys defeated King Argilac the Arrogant and took not only Storm's End but also his sigil - the black stag and his words, "Ours is the Fury" - as well as Argalia, to cement his rule over the Stormlands. He became the first Lord Paramount of the Stormlands. 
She's mentioned in Orys Baratheon's entry in The Lineage and Histories of the Great Houses of the Seven Kingdoms.
In the books
The World of Ice and Fire reveals that Argilac's daughter was named Argella Durrendon. Argilac offered Argella's hand in marriage to Aegon the Conqueror himself in return for a military alliance against King Harren the Black of the ironborn, whom Argilac feared was planning an attack on the Stormlands. Aegon refused, instead offering the hand of Orys. Argilac spurned the offer of a bastard and cut off the hands of Aegon's envoy in protest.
When Orys defeated Argilac at the Battle of the Last Storm, Argella declared herself the Storm Queen and vowed to fight on. Her own vassals refused to obey, instead delivering her to Orys naked and in chains. Orys treated her with courtesy and they later married. Whilst Orys is reported to have treated her chivalrously, Argella's feelings towards Orys remain unknown.
The TV name of "Argalia" is the creation of Bryan Cogman, who wrote the entries in the Lineage and Histories book.
|Lord:||King Stannis I||Heir:||Princess Shireen Baratheon|
|Seat:||Storm's End||Lands:||The Stormlands|
|Title(s):||Lords Paramount of the Stormlands · Lord of Storm's End|
|Ancestors:||Durran Godsgrief · Argilac the Arrogant · Orys Baratheon · Argalia Baratheon · Monica Baratheon · Mychal Baratheon · Axel Baratheon · Lyonel Baratheon|
|Deceased members:||Renly I · Robert I · Steffon Baratheon · Cassana Baratheon|