A list of terms mentioned in "Stranger" and Game of Thrones that you should know. Use these for reference.

AZOR AHAI
" According to prophecy, our champion will be reborn to wake dragons from stone and reforge the great sword Lightbringer that defeated the darkness those thousands of years ago. If the old tales are true, a terrible weapon forged with a loving wife's heart. Part of me thinks man was well rid of it, but great power requires great sacrifice. That much at least the Lord of Light is clear on. "

Azor Ahai ​is a legendary figure in the faith of R'hllor. He was a legendary hero who lived approximately eight thousand years before Aegon's Landing. Thousands of years ago, darkness lay over the world and Azor Ahai was the hero chosen to fight against it.

To fight the darkness, Azor Ahai needed to forge a hero's sword. He labored for thirty days and thirty nights until it was done. However, when he went to temper it in water, the sword broke. The second time he took fifty days and fifty nights to make the sword, even better than the first. To temper it this time, he captured a lion and drove the sword into its heart, but once more the steel shattered. The third time, with a heavy heart, for he knew beforehand what he must do to finish the blade, he worked for a hundred days and nights until it was finished. This time, he called for his wife, Nissa Nissa, and asked her to bare her breast. He drove his sword into her living heart, her soul combining with the steel of the sword, creating Lightbringer.

He then used this sword to defeat the darkness of the Great Other. A prophecy foretells that he will be reborn as the Prince Who Was Promised. Red Priestesses around the land have elected several different people to be this.

Taken from the Game of Thrones Wiki.

NISSA NISSA
" It is said that her cry of anguish and ecstasy left a crack across the face of the moon, but her blood and her soul and her strength and her courage all went into the steel. "

Nissa Nissa ​was the wife of the legendary hero, Azor Ahai. In order to unleash the powers of the sword  so that he could defeat the darkness of the Great Other, he had to sacrifice her by plunging Lightbringer into her heart. Her sacrifice is one that many are grateful for and remember forever.

Taken from the Game of Thrones Wiki.

THE PRINCE WHO WAS PROMISED
" There will come a day after a long summer when the stars bleed and the cold breath of darkness falls heavy on the world. In this dread hour a warrior shall draw from the fire a burning sword. And that sword shall be Lightbringer, the Red Sword of Heroes, and he who clasps it shall be Azor Ahai come again, and the darkness shall flee before him. "

"The Prince Who Was Promised," sometimes called "The Prince That Was Promised" or "The One Who Was Promised," also known as "the Lord's Chosen," "the Son of Fire," and "the Warrior of Light," is a mythic figure in the religion of the Lord of Light. According to prophecy, this figure would be reborn "amidst salt and smoke" and pull a flaming sword from the flames, Lightbringer, to combat the coming darkness.

The prophecy about the Prince Who Was Promised says that he would be born from the line of House Targaryen. Most versions of the prophecy were written in High Valyrian, concluding that the word, "Prince," can be gender-neutral. Either a man or woman can be the Prince Who Was Promised.

Red Priestesses of Westeros have different predictions of who this figure must be, depending on their region, which is why there have been several different Travelers. There have been several predicted Princes, so thus there have been several Travelers. Regardless if a Prince was not the one to bring the dawn, they were still predicted by a known Red Priestess, so there have been many Travelers.

According to Melisandre, a Red Priestess of the Lord of Light, Stannis Baratheon, Lord of Dragonstone and self-proclaimed King of the Andals and the First Men, was the prophesied Prince. (Stannis might have been the Prince because his grandmother was a Targaryen.)

However, after Stannis is defeated in battle and Jon Snow, the Lord Commander of the Night's Watch, is raised from the dead, Melisandre claims Stannis was not the Prince, but "someone must be," suggesting she may now believe it is Jon. Melisandre, actually, does not know - as of Season 6 - that Jon Snow is the son of Lyanna Stark and Rhaegar Targaryen, but those that do know that this fact only furthers the prediction that he might be the Prince Who Was Promised. He was born under a bleeding star, from Arthur Dayne's sword, Dawn, which was propped right by the bedside of which he was born. His own Lightbringer is his sword, Longclaw.

Another Red Priestess, established in Volantis, preaches to a group of slaves and freedmen that Daenerys Targaryen is their prophesied savior. Kinvara, the High Priestess of the Red Temple of Volantis, is also certain that Daenerys is the one who was promised, citing her freeing of slaves and birthing of dragons from stone as evidence, as well as her being of Targaryen descent. She and her dragons were born under a bleeding star and they might be her Lightbringer.

Taken from the Game of Thrones Wiki.

THE TRAVELER
" Lord of Light! Please, hear our prayers and cast your light upon us! For the Azor Ahai needs a loyal companion: an adventurer; a voyager. We offer you the torching of these false souls in order to create the Traveler. We need not only a Man to vanquish all evil, but a Mortal who leads destiny itself. From the power of nature, we ask you for the Traveler. Valar dohaeris, my Lord, as the night is dark and full of terrors! "

The Traveler comes from the religion of the Red God, also known as R'hllor. The first Traveler was a man of no distinction, who was known to travel all around Westeros. After the realization that he wanted more adventure in his mortal life, he convinced a High Priestess, of whom he was close with, to grant him the powers to travel to worlds unknown. After his death, worshippers of R'hllor believe that the Traveler is reincarnated every 50 years, so they can travel to Westeros from a different universe and help defeat a Great Other. Most Travelers, despite their area of origination, have last names related to families in Westeros, only furthering theories of R'hllor worshippers. Fanatics believe that the new Traveler is reborn in the last universe the old Traveler visited.

Usually, the Traveler is a companion to the Prince Who Was Promised, helping he or she through trials in their life. There have been several predicted Princes, so thus there have been several Travelers. Regardless if a Prince was not the one to bring the dawn, they were still predicted by a known Red Priestess, so there have been many Travelers. Sometimes, they are also the Prince's Nissa Nissa, but that is rare. Travelers are not immortal, because only death can pay for life. They are not Greenseers, but are often compared to them. A Traveler is not only able to travel through alternative universes - through a source of passage in nature - but also travel through memories and the past. By traveling through a passage of nature, this piece usually relates to the universe they are fated to visit. For Westeros, most passages for Travelers are weirwood trees.

The Traveler is a very important player in destiny, and with a great power such as their's, a target is always put on their back. Not many can know of their true title, in fear that others will use them and/or kill them because of this power.

Like the Prince Who Was Promised, the Traveler is a gender-neutral term. The first Traveler was a man, but they are not limited to that one gender. In fact, the most recent Traveler, Maia Sanders, born in the "Earth 1994" universe, is one of four female Travelers. She stands with two Princes That Were Promised, Jon Snow and Daenerys Targaryen.

Past Travelers of Westeros: Unknown man (first), Edward Florent, Cecil Bracken, Aggie Forrester, Horace Blackwood, Eugene Hightower, Will Reed, Lynn Royce, Cassandra Mallister, Cloyd Arryn, Jerome Stokeworth, Maia Sanders (current).

The Traveler belongs to me and is my original idea.

LIGHTBRINGER
" The sword is wrong, she has to know that ... light without heat ... an empty glamour ... the sword is wrong, and the false light can only lead us deeper into darkness. "

Lightbringer is a sword of legend, forged and wielded by Azor Ahai, chosen by the Lord of Light to fight the darkness. It took one hundred days and one hundred nights to forge and the powers of Lightbringer were finally extracted when he plunged it through his wife's, Nissa Nissa, chest. The sword was said to glow and radiate heat, burning whoever touches it.

Lightbringer is also the name of Stannis Baratheon's sword. Melisandre enchants Stannis's sword and dubs it Lightbringer, as she believes him to be Azor Ahai reborn. However, Melisandre is apparently unable to get the sword to radiate heat, and it only gives off bright light.

Thus there is a discrepancy between the "Lightbringer" of legend, and Stannis's sword "Lightbringer," named after the original.

Taken from the Game of Thrones Wiki.