Warning: This answer contains Game of Thrones spoilers.
1. The Lannisters vs the Starks
True-life horror – The Lancasters vs the Yorks, England, 1455–87
These two rival families spent decades battling for the English throne in what’s known as the War of the Roses. One of the bloodiest battles happened in Wakefield, Yorkshire, climaxing in the death of just about everyone on the York side, including their leader, Richard. With definite echoes of the fate of Ned Stark, Richard’s head was chopped off and stuck on the gates of York for everyone to enjoy – especially hungry birds.
True-life horror – Edward of Lancaster, heir to the English throne 1453–71
Prince Edward (who was also rumored to be illegitimate) was by all accounts a bloodthirsty little tyrant much like Joffrey. By the age of 13, his hobbies and interests included cutting off heads, war, and randomly attacking his friends with his sword or lance just for lols.
3. The War of the Roses
To begin with, the main plot of A Song of Ice and Fire is plucked directly from the English War of the Roses. The war was generations-long and fairly complicated (especially since everyone in English history has one of three names), but it boiled down to a fight for the English throne between the Lancasters (Lannisters) and the Yorks (Starks), complete with boy kings, scheming mothers, a duty-bound "hand of the king," and a royal growing up in far off Europe with a claim to the throne (little Daenerys and her jerk brother).
4. The Wall
Martin’s wall, constructed from solid ice, stretches for 300 miles and is 700 feet tall and designed to keep out the fearsome ‘Wildlings’ on the other side.
Hadrian's Wall, between Wallsend in North Tyneside and Bowness on Solway in Cumbria, was built to guard the north-west frontier of the Roman Empire and runs a slightly more modest 73 miles and was around 20 feet tall at its highest point.
5. Battle of Blackwater
Byzantine defenders were facing heavy attacks from Arab invaders, so they used a dangerous secret weapon to break the siege. That weapon was Greek fire, an explosive that seemed to defy the laws of physics by burning on water.
In Game of Thrones, Tyrion Lannister defends his bay by using wildfire, a magical substance with similar properties. He also uses a large chain to stop ships from making their way into the bay, and--you guessed it--that's exactly what the Byzantine defenders did.
6. The War of the Five Kings
The Hundred Years’ War, Europe, 1337–1453
This was a hideously bloody and drawn-out conflict between England and France, in which everybody felt they deserved to be king of France. There were endless battles on land and sea, blood gushed everywhere, hundreds of thousands of people were killed, and one of the “highlights” was when 17-year-old Joan of Arc was burned at the stake. Good times.
7. William the Conqueror
In actual English history, William the Conqueror was a bastard Duke of Normandy who wanted to rule over all Seven Kingdoms of England. In 1066, he crossed the (narrow) sea with one hell of an army and started running the place. The current Queen of England is his 22X Great-Granddaughter. In A Song of Ice and Fire, it's the same story, except with Aegon the Conqueror and his sister-wives and their dragons taking over Westeros and establishing the Targaryen Dynasty.
8. The Dothraki
The nomadic, horse-loving warriors the Dothraki, who rule the vast plains of Essos in GoT, seem to share many characteristics with the Mongol empire that existed in the 13th and 14th centuries across Asia and Europe.
Khal Drogo, one of the most prominent Dothraki rulers, seems to share certain characteristics with Mongol legend Genghis Khan, including executing enemies by ways of molten precious metals being poured on the head (Genghis used silver, Drogo splashed out on gold) and their unspectacular demises (Genghis probably died from an infected wound, Drogo was suffocated after an infected wound left him catatonic).
George R. R. Martin has also admitted that the Dothraki are based in part on characteristics of the Huns, Alans, Turks and even some Native American tribes.
9. Mad King Aerys Targaryen
“The Mad King” Charles VI of France, late 14th century
Before Charles VI went mad, he was popular, charming, and successful. Then he got a mystery illness, during which all his hair and teeth fell out, and afterward everything basically went south. His first “episode” involved him unexpectedly killing four of his own knights with a sword while they were all out walking on a lovely summer’s day. Later, he became convinced he was made of glass and insisted on wearing iron rods in his clothes to prevent anyone "breaking" him.
10. The cannibal wildlings.
The Sawney Bean Family, 16th-century Scotland
The Sawney Bean family were a cave-dwelling, cannibalistic Scottish clan with little to no chill. They had 14 children and 32 grandchildren, and their preferred method of procreation was incest. They made a living by hiding in bushes and jumping out on passers-by, hacking them to death, supping giddily on their blood, and stealing their possessions. Leftover body parts were thoughtfully pickled for later.
11. Joan of Arc
Brienne of Tarth is clearly taking some cues from Joan of Arc, minus the whole hearing voices thing. In the 1400s, Joan was a peasant girl who decided that she had been chosen by God to lead France to victory against England. She was a woman with no formal training, but she still managed to lead the French army to momentous military victory against the English at Orléans... until she was captured, tried for witchcraft, and burned at the stake (sorry, Brienne).
12. Bran and Rickon Stark
The Princes in the Tower, 15th-century England
Edward, 12, and Richard, 9, were the only sons of King Edward IV. After King Edward died, the boys were looked after by their uncle Richard III (the son of the guy who ended up with his head on the gate), who locked them in a tower “for safe keeping” until Edward’s coronation as king. But somehow – and I mean this could happen to anyone – Richard III ~misplaced~ the boys, and had no choice but to try to become king himself. Maybe the boys were murdered by their uncle, maybe they just magicked away into the ether. We may truly never know.