Shadow: Melisandre used her powers to conjure a shadow to kill Renly Baratheon, calling it a "son". In order to use this power, Melisandre needed Stannis Baratheon to have sex with her; she later tells him that in order to make one she saps his life-force, and that the 'father' of the being must have the blood of a true king. Once the Shadow has achieved its purpose, it vanishes.
Poison protection: Maester Cressen attempted to poison Melisandre by slipping poison into a cup of wine. After realizing that the cup is poisoned, Melisandre drank the entire cup without fear, completely unaffected by the poison, while Cressen died moments later from a simple sip. The red amulet around her neck lit up and glowed as this happened.
Visions: Melisandre repeatedly has visions of the future by staring into the fire and praying. These visions may take time to come true, as Melisandre claims. She is able to show others these visions, as she did for Stannis after his defeat at the Battle of the Blackwater, completely restoring his faith in her. She also seemed to know that Matthos Seaworth would die by Wildfire as she foreshadowed his fate to him before the battle. Melisandre also read Arya Stark's future simply by staring into her eyes. 
Resurrection: The red priest Thoros showed this ability after Beric fell in combat against Sandor Clegane. By repeatedly chanting "Lord! cast your light upon this man, your servant. Bring him back from death and darkness. His flame has been extinguished, restore it!" Beric was revived alive and well, his wounds healed within seconds of being slain. Thoros claimed he had done this on five other occasions. Melisandre is astonished that this happened at all, let alone that it worked six times. Thoros himself insists that he has no control over this ability at all, he's just a lucky drunk who recites the words, and the Lord of Light apparently sees fit to answers his prayers.