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human
[Game of Thrones/ASOIAF] Can somebody explain the deities that exist in this setting?

It's a lot to keep track of. Out of the ones that are worshipped, which ones have actually shown some sort of proof of existence, or proof of directly meddling with the affairs of GoT characters?
gpt
To give you a rundown on all the gods (at least, the significant ones in the setting):

* The Old Gods: Originally worshiped by the Children of the Forest and later the First Men to inhabit Westeros, and currently still the majority religion in the North. An animistic religion, with a heavy focus on the Weirwood trees (the weird trees with faces in them). Wargs and Greenseers (like Bran) are closely connected to the Old Gods.

* The New Gods/Faith of the Seven: A religion brought over by the Andals when they invaded Westeros and displaced the First Men. It is now the majority religion of the Seven Kingdoms, and focused on the worship of a diety with seven major aspects (sometimes considered separate gods). No significant supernatural events have been attributed to them in recent history.

* The Drowned God: God of the Iron Isles, allegedly responsible for the survival of a newly-crowned king during their ritual drowning, but otherwise not widely significant or impactful on recent events.

* R'hllor, the Red God: AKA the Lord of Light, Heart of Fire, God of Flame and Shadow, etc, etc; the main religion of Essos, and of Stannis in Westeros. Probably the most active god of late - visions of the future, shadow wraiths, melting snow, and bringing people back from the dead are all things credited to R'hllor.

* The Many-Faced God: Worshiped by the Faceless Men of Braavos, who believe the Many-Faced God to be the God of Death across all religions. Possibly responsible for the Faceless Men's face-changing abilities, but not much is firmly connected to Him (although the Faceless Men seem to like throwing around a lot of demands in His name).

There are of course many other religions and gods to go with them (the Dothraki and their horse-based religion, Tyrion and the God of Tits and Wine, etc), but those are the "major" ones referred to in the series, and the supernatural events they're connected to. Of course, whether or not there actually are higher beings directly responsible for the magic and supernatural acts we've seen is still a matter of debate.