I'm going to ignore situations that happened only in the books (i.e. some healers that worship the 7 and seem to perform miracles) and focus on what we've seen on the TV show.
Mirri Maz Duur: She used some pretty dark magic on Khal Drogo (and, to some extent, on Daenerys). She worships the Great Shepherd of the Lhazareen. Does that mean the Great Shepherd is real?
Ironborn: As mentioned above, the ironborn seem to drown and then come back to life. Does that mean the Drowned God is real?
Bran: It seems Bran's magic is linked to the Old Gods (in the books even more so through his Weirwood net). Does that mean the Old Gods are real?
White Walkers: Sure, they seem to be the enemies of the "lord of Light", but that's just based on what Melissandre says. We've seen they were created by the Children of the Forest, who are also linked to the Old Gods. So maybe what Melissandre says is just propaganda and the Old Gods are the real thing?
Plus we've seen some weird stuff in Essos (faceless men, Warlocks of Qarth, etc). Each with their own religions.
What we've seen in all these cases (and the ones you mentioned regarding R'hllor) are just proof that magic exists, not that a specific god exists.
Whether that magic is linked to a god or it's just something that is there (and people use gods as an explanation for the source of the magic) is something we'll never know.
I recall GRRM saying something like "the gods of Westeros are as real as ours", so make of that what you will!