In the books
In the A Song of Ice and Fire novels, the God of Death is referred to as the "Many-Faced God", or "Him of Many Faces", and is worshiped, particularly, by the Faceless Men: a guild of assassins based out of the Free City of Braavos.
The Faceless Men believe that the Many-Faced God is unknowingly worshiped by most faiths, simply under different names. Every religion either has a god of death (in polytheistic faiths), or worships a single god with dominion over death (in monotheistic faiths). For example, in the Faith of the Seven, the aspect of the Seven-in-One godhead with dominion over death is known as "the Stranger"; the Faceless Men consider this to be another incarnation of the Many-Faced God of Death.