I have just started "Game of Thrones" from season 1.
Most of the characters in "Game of Thrones" are saying Winter is Coming, Winter is Coming.
But I don't know the real meaning of that phrase.
Anyone can tell me about it?
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Most of the characters in Game of Thrones are part of noble families. These families each have their own sayings, a motto so to speak. These mottos refer to the culture and sigil of their Houses.
The Lannisters have Hear me roar, as they have a Lion as their sigil.
The Baratheons have Ours is the fury.
The Greyjoys have We do not sow, referring to their pillaging and reaving.
The Starks have Winter is coming as their motto.
Since many of the main characters in the show are Starks, it is not so surprising that you hear those words a lot.
The Starks are from the cold North. Winters are very cold and snowy there, so they are definitely something you should be prepared for. The words Winter is coming is a somber reminder that one should always be prepared for winter, that no matter how nice and warm it is outside, winter is always just around the corner.
In the end, it's a saying, very much like after rain comes the sunshine.
This phrase is used to warn that winter is about to come and that the realm needs a constant vigilance.
"Winter Is Coming" is the motto of House Stark, one of the Great Houses of Westeros. The meaning behind these words is one of warning and constant vigilance. The Starks, being the lords of the North, strive to always be prepared for the coming of winter, which hits their lands the hardest.
Another meaning could be that White Walkers may come during the winter and they should be prepared for them.
A third meaning, one that is long forgotten even by the Starks themselves, is that the White Walkers may return in the winter, and that the realm must always be prepared for such an event.
They are the words for House Stark. Most of the major houses have some words that are supposed to represent them and their reputation in some way.
As reflected on by Catelyn;
"Yes," Catelyn agreed. The words gave her a chill, as they always did. The Stark words. Every noble house had its words. Family mottoes, touchstones, prayers of sorts, they boasted of honor and glory, promised loyalty and truth, swore faith and courage. All but the Starks. Winter is coming, said the Stark words. Not for the first time, she reflected on what a strange people these northerners were.
A Game of Thrones - Catelyn I
We see that House Words are important things to learn for young lordlings;
And Olenna Tyrell (if you are only on season 1, be wary of spoilers) mocks her own house words and says the Stark's are memorable;
The words themselves are quite literal, a reminder that winters in this world can last for years;
She perched anxiously on the edge of her bed. "You are too young to be burdened with all my cares," he told her, "but you are also a Stark of Winterfell. You know our words."
"Winter is coming," Arya whispered.
"The hard cruel times," her father said. "We tasted them on the Trident, child, and when Bran fell. You were born in the long summer, sweet one, you've never known anything else, but now the winter is truly coming. Remember the sigil of our House, Arya."
A Game of Thrones - Arya II
It is a stark (get it, nudge nudge) reminder that if you are not prepared you will surely die;
"Because it will not last," Catelyn answered, sadly. "Because they are the knights of summer, and winter is coming."
"Lady Catelyn, you are wrong." Brienne regarded her with eyes as blue as her armor. "Winter will never come for the likes of us. Should we die in battle, they will surely sing of us, and it's always summer in the songs. In the songs all knights are gallant, all maids are beautiful, and the sun is always shining."
A Clash of Kings - Catelyn II
I think what some of these answers are also neglecting to answer is why the winter coming is a big deal.
In the ASOIAF universe, specifically in Westeros, there are very long, unpredictable winters. They can last from a few months like a "normal" one, to several years. This is referenced several times in the books. Because of the sporadic nature of their climate, it would make sense for any reasonable person or group of people to constantly be preparing for what could be a Winter of apocalyptic proportions.
In the beginning of Game Of Thrones, the Kingdoms find themselves in a long summer (one of the longest on record if I recall). This can lead to complacency and idleness / laziness.
In light of this, and because of it, the motto "Winter is Coming" makes sense in that it encourages a constant watchfulness and mindfulness of the always impending perils. Don't take your present circumstances, no matter how good they may be, for granted.
And yes, as others have said, it is also the Stark motto. Each family has a motto, often related to their coat of arms (in this case a Direwolf which thrives in the snow / cold), and with some bearing on the overall "style" of the family and the way in which they comport themselves.