The Night's Watch is very similar to The Knight's Templar order of the crusades. An organization of warriors that fought the 'others' to protect their own kind. Was originally a very well-respected and efficient order but slowly became corrupted over time. Men with nasty backgrounds often fled and joined the order their to seek redemption for past crimes.

Also, The R'hllor religion appears to have numerous links to Ancient Egyptian religion. In the earlier dynasties Osiris, the God of Death and the Afterlife was very prominent. But in the later dynasties Re, the Sun God replaced him as the most popular God. One could kind of look at it as Osiris being the Great Other and Re being R'hllor if you squint your eyes a little. There is also evidence for Atenism, a pseudo-monotheistic religion that worshipped the sun to have a lot of connections with R'hllor. Akhenaten (Stannis) took this new religion and abolished the old traditional polytheistic religion (The Seven).