- "Shadows cannot live in the dark, Ser Davos. They are servants of Light."
A shadow is a type of magical creature. Servants of the Lord of Light employ them to undertake dangerous missions on their behalf.
Melisandre and Stannis Baratheon have sex, with Melisandre promising to give Stannis 'a son'. After the failed parley between Stannis and Renly, Melisandre is revealed to be pregnant. She gives 'birth' to a shadow in a cave close to Renly's encampment whilst Ser Davos Seaworth watches in horror. The creature infiltrates Renly's camp and kills him in front of Catelyn Stark and Brienne. Renly's bodyguards blame Brienne for the deed.
Davos is so disturbed by the appearance of the shadow creature that he convinces Stannis not to bring Melisandre along when their fleet and army attack King's Landing, in case the victory is credited to her powers rather than Stannis.
Stannis asks Melisandre to make him another "son" to slay Joffrey as well as Robb Stark. However, she refuses him, explaining that creating a shadow-creature drains some of a man's life energy, and she fears that if Stannis attempts to create another with her it will kill him. Instead, she has Gendry brought to Dragonstone, since he also has king's blood, being the son of Robert Baratheon.
Behind the scenes
Fans colloquially call the creatures "shadow babies" due to the nature of their creation.
In the books
In the A Song of Ice and Fire novels, Melisandre actually conjures forth two shadows on separate occasions to kill Stannis' foes - Renly and Ser Cortnay Penrose. She needs to use Stannis' own life-essence to fuel the entities, but this hugely drains him, thus she doesn't produce any more shadows. Davos notices that Stannis looks ten years older than before the Battle of the Blackwater. Use of the creatures is thus limited in case their creation taxes the creator to the point of death. Melisandre offers Davos to use his life-essence to produce a shadow, but he refuses. It is unknown whether Melisandre made similar offers to any other men.