Daenerys Targaryen is captured and returned to Vaes Dothrak as she is the widow of Khal Drogo and must join the Dosh khaleen, the revered widows of dead khals. Daenerys tries to get the High Priestess of the Dosh Khaleen to respect her by saying that she was the Khaleesi of the Great Khal - as Drogo was the strongest khal of his generation. The elderly high priestess sympathetically dismisses this by saying that she was once married to the "Great Khal" of her generation, Khal Savo, and she thought she would ride by his side as he conquered the world - she was young once too and had such dreams, but life didn't turn out that way for her either.
In the books
In the A Song of Ice and Fire novels, no mention has been made of a "Khal Savo". It is unknown if he will be mentioned in a future novel.