The first night is a mostly extinct marriage tradition in Westeros. Under this tradition, when commoners or peasants marry, their lord or king might bed the bride on the first night. This tradition sometimes even allows kings to bed the wives of nobles on their wedding night, although this rarely takes place, as a shrewd ruler would be aware of the resentment this would cause and how easily it could make enemies.
The tradition of the lord's right to the first night led some commoners to marry in secret or not inform their lords of the marriage, as they had no wish to share their brides, nor did the bride often wished to be shared. In Westeros, it was practiced for centuries until the reign of King Jaehaerys I Targaryen who, under the advice of his adored Queen Consort Alysanne, banned the tradition. This made Alysanne beloved of the smallfolk, though some lords resented it.
Although it is now against the law, some houses in Westeros, such as House Bolton and House Umber (although they deny it), as well as the inhabitants of Skagos and some northern mountain clans, are rumored to still illicitly uphold the first night. At Lord Tywin Lannister's marriage to Joanna Lannister, King Aerys II Targaryen drunkenly japed about how it was a pity the first night was banned, and he took certain liberties in the bedding ritual when the men at the feast had to disrobe the bride.
Late in the reign of King Aegon I, Lord Gargon Qoherys of Harrenhal was infamously known as "Gargon the Guest", for inviting himself to weddings throughout his holdings to invoke his lordly right of first night with the brides as frequently as possible. Gargon became much hated, and was eventually murdered by the rebel Harren the Red, who after capturing Gargon cut off his genitals and fed them to dogs, while Gargon bled to death.
The moment I set eyes on her I wanted her. Such was my due. The maesters will tell you that King Jahaerys abolished the lord s right to the first night to appease his shrewish queen, but where the old gods rule, old customs linger. The Umbers keep the first night too, deny it as they may. Certain of the mountain clans as well, and on Skagos... well, only heart trees ever see half of what they do on Skagos... The miller's marriage had been performed without my leave or knowledge. The man had cheated me. So I had him hanged, and claimed my rights beneath the tree where he was swaying.
- Droit du seigneur -- Wikipedia article on a similar custom, though it is not proven to have existed.