Story time part 2: The Age of Heroes

When Aegon the Conqueror invaded Westeros, he had Seven Kingdoms to contend with: the Kingdom of the North,the Kingdom of the Mountain and the Vale,the Iron Islands, the Kingdom of the Rock,the Kingdom of the Reach, the Stormlands,and Dorne. These regions had been established by the First Men thousands of years before, in the Age of Heroes.One hero of this fabled age was Bran the Builder. Bran raised the Wall and built the stronghold of Winterfell, establishing House Stark and reigning as the first King of the North.Other legends tell of the Grey King in the Iron Islands. Grey King took a mermaid to wife and defeated Nagga, the first sea dragon. House Greyjoy of Pyke - the current rulers of the region - claim to descend from him.House Casterly ruled the gold-rich Westerlands from their mighty seat of Casterlt Rock. But their lands and power were swindled from them by the legendary trickster, Lann the Clever. The noble house of Lannister is said to have descended from him.The verdant and fertile lands of the Reach were first ruled by House Gardener. Its founder, known as Garth Greenhand, wore a crown of flowers and vines. He ruled from Highgarden as the first King of the Reach, and was said to have made the land bloom. Many noble houses trace their bloodlines back to him,including the current lords of Highgarden, House Tyrell.In the Stormlands, according to ballads of the age, a warrior named Durran fell in love with Elenei, whose father was God of the Sea, and mother was Goddess of the Wind . She gave her maidenhead to him, committing herself to a mortal life. In rage, her parents called upon the winds and waters, destroying Durran's bayside keep and wiping out his wedding gift. Durran declared war on the gods and rebuilt his keep, which was also destroyed. Four more castles he raised, each stronger than the last. All fell to the power of the gods. But Durran's seventh castle, Storm's End, withstood the gods' rage. Durran became known as Durran Godsgrief and reigned as the first Storm King. 

Source: http://gameofthrones.wikia.com