I can't add my picture of Melisandre saying "this post is dark and full of spoilers" (through season 5); consider yourselves warned.
GamIn Game of Thrones, we are exposed to a variety of religions and many of the new (or newly powerful ones) have been known to preach a rhetoric of violence either to enforce their rules (the Sparrows) or to advance their cause (the faith of the Lord of Light, seen above.)
The "art" that advances this ideological violence, I would argue, is the art of the Red Priestess, in this case Melisandre. Her art, as she describes in the video embedded above, is her performance of the religion through theatrics. These theatrics justify her having sex with Stannis Baratheon (who is trying to take control of the throne) and his wife (the clothed woman in the video above) accepting that this had to happen. Her sexuality is something that is put on display but can only be accessed when it is religiously necessary. In the video I've linked to in the beginning of this post, Stannis decides to burn his daughter at the stake in order for the Lord of Light to bless his troops. The ceremony that Melisandre provides for this sacrifice justifies it to th point where none of the soldiers bat an eye at Shireen's cries.