"This," [Sam] said reverently, "is the account of a journey from the Shadow Tower all the way to Lorn Point on the Frozen Shore, written by a ranger named Redwyn. It's not dated, but he mentions a Dorren Stark as King in the North, so it must be from before the Conquest. Jon, they fought giants! Redwyn even traded with the children of the forest, it's all here." (7.Jon.11)
There isn't a history book of Westeros floating around out there, so instead you'll have to patch together the history of this land, using these little tidbits of information. In a way, it's the same thing the characters have to go on.
When last he'd seen Lordsport, it had been a smoking wasteland, the skeletons of burnt longships and smashed galleys littering the stony shore like the bones of dead leviathans, the houses no more than broken walls and cold ashes. After ten years, few traces of the war remained. (12.Theon.47)
The history's cyclical nature isn't just something for the far reaches of the past. Here, the war came and destroyed, but the people of Lordsport managed to turn it around in ten years.
"It may be as you say, blood of my blood," Dany replied gravely, "but he shall have a new name for this new life. I would name them all for those the gods have taken. The green one shall be Rhaegal, for my valiant brother who died on the green banks of the Trident. The cream-and-gold I call Viserion. Viserys was cruel and weak and frightened, yet he was my brother still. His dragon will do what he could not."
"And the black beast?" asked Ser Jorah Mormont.
"The black," she said, "is Drogon." (13.Dany.24-26)
For Dany, the dragons serve as a resurrection in many different ways. Since there are three, she sees them as a kind of return of Aegon the Conqueror's dragons—a good omen seeing as she aims to conquer the Seven Kingdoms, too. Yet she also views them as a surrogate family, an emotional resurrection of those she has loved and lost.
"And much of the stock [of wildfire] we made for Aerys was lost. Only last year, two hundred jars were discovered in a storeroom beneath the Great Sept of Baelor. No one could recall how they came there, but I'm sure I do not need to tell you that the High Septon was beside himself with terror." (21.Tyrion.10)
But what was King Aerys storing wildfire all over the city for? Doesn't seem like stuff you'd want just lying around… In terms of history, the wildfire seems like the kind of thing you wouldn't want coming back as a blast from the past, either.
Winter comes for all of us, Catelyn thought. For me, it came when Ned died. It will come for you too, child, and sooner than you like. She did not have the heart to say it. (23.Catelyn.108-109)
Songs and story preserve the history of Westeros. While Brienne seems to think it preserves the past in all its glory, Catelyn knows that the songs are a pale imitation of the past for those who lived it.
[Arya] remembered Old Nan's stories of the castle built on fear. Harren the Black had mixed human blood in the mortar, Nan used to say, dropping her voice so the children would need to lean close to hear, but Aegon's dragons had roasted Harren and all his sons within their great walls of stone. (27.Arya.27)
The past doesn't exactly die in Westeros; it more lingers. Simply the history of Harrenhal has caused people to feel uneasy about living in the place—the past has tainted the castle for its present residents.
"Your eunuch must have told you, there is small love for the Lannisters in King's Landing. Many still remember how your lord father sacked the city, when Aerys opened the gates to him. They whisper that the gods are punishing us for the sins of your House—for your brother's murder of King Aerys, for the butchery of Rhaegar's children, for the execution of Eddard Stark and the savagery of Joffery's justice." (42.Tyrion.102)
The people of King's Landing remember the last time someone sacked their city. In fact, it was Tyrion's father, Tywin Lannister, who led the campaign. So guess what? They're none too keen on Lannisters now. Seems reasonable.
Finally Tyrion said, "A harrowing tale. I'm sorry."
The eunuch sighed. "You are sorry, but you do not believe me. No, my lord, no need to apologize. I was drugged and in pain and it was a very long time ago and far across the sea. No doubt I dreamed that voice. I've told myself as much a thousand times." (45.Tyrion.129-130)
The past is vitally important to understanding the present, and this is made all the more complicated by the fact that the past can be a hard thing to grasp the truth of. Take Varys. He can't tell if what he heard was reality, yet the experience has determined his life course for years. And Varys's life course is arguably determining the course of the entire Seven Kingdoms, making this a big thing to hinge on a maybe.
"Your Bael was a liar," he told her, certain now.
"No," Ygritte said, "but a bard's truth is different than yours or mine. Anyway, you asked for the story, so I told it." (52.Jon.102-103)
Ygritte brings up a good point: One person's lie is another person's history. We're also wondering what other differences we'd find in the wildling history books…
Their faces were stern and strong, and some of them had done terrible things, but they were Starks every one, and Bran knew all their tales. He had never feared the crypts; they were part of his home and who he was, and he had always known that one day he would lie here too. (70.Bran.42)
The past offers two-fold protection for Bran. First, as the crypt, it physically protects him from Theon Greyjoy's wrath. Second, as an ideal, it protects him by giving him a sense of self and purpose, two things he has been vitally missing since his tumble from the tower.