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House Of The Dragon season 1, episode 1 ended with King Viserys I Targaryen naming Rhaenyra, his daughter, as heir to the Iron Throne. That itself was a momentous decision for House of the Dragon's story, but there was a lot more to it. Being named his heir, Rhaenyra had to be burdened with the knowledge all Targaryen Kings (and now the would-be Queen) have had: of Aegon Targaryen's dream, which Viserys recounts:
"Aegon foresaw the end of the world of men. It's to begin with a terrible winter, gusting out of the distant North. Aegon saw absolute darkness riding on those winds, and whatever dwells within will destroy the world of the living. When this great winter comes, Rhaenyra, all of Westeros must stand against it. And if the world of men is to survive, a Targaryen must be seated on the Iron Throne. A King or Queen, strong enough to unite the realm against the cold and the dark. Aegon called his dream 'The Song of Ice and Fire.'"
Aegon Targaryen's dream is not mentioned in Game Of Thrones, and nor does his specific A Song Of Ice And Fire prophecy appear in the book series from which it takes its name. This is brand-new information in House Of The Dragon, but it is not too dissimilar to other prophecies surrounding the White Walkers and how they will be defeated.
Azor Ahai is said to be a great hero who will wield the burning sword, Lightbringer; the Prince That Was Promised prophecy, which is often changed interchangeably with Azor Ahai, is said to have "a Song Of Ice And Fire." Both, tellingly, are rooted in the same idea of the ice and fire duality at the end of the world.
Game Of Thrones' main Targaryens did not know about Aegon's dream of the White Walkers, though that itself makes sense. The Targaryen dynasty ended before Daenerys had even been born, while Viserys himself had only been a small child, and few knew Jon Snow was a Targaryen.
It's possible that Maester Aemon Targaryen did know about Aegon's dream: he was the son of a King, and one who many favored to take the Iron Throne, while his brother, Daeron, was known to have dragon dreams. Aemon is certainly aware of the Prince That Was Promised prophecy in the books, and it's possible these could be related or have been conflated across the years.
As mentioned, there is some overlap in theme and purpose between Aegon's Song of Ice and Fire and the Prince That Was Promised prophecy from Game of Thrones. That's with good reason, as the two are inextricably linked, which was confirmed by House of the Dragon season 1, episode 4. When looking at the inscription on the Valyrian steel blade that will come to be known as the catspaw dagger, it's revealed to say: "From my blood... come the Prince That Was Promised... and his will be the Song of Ice and Fire."
That's incredibly similar to what Rhaegar says to Daenerys, which suggests he may have got it from the catspaw dagger himself, which could have belonged to him before the end of the Targaryen dynasty. The Prince That Was Promised prophecy foretells of a leader or hero who has "a song of ice and fire," and is typically used somewhat interchangably with that of Azor Ahai. Simply put, the Prince That Was Promised, Azor Ahai, and Aegon's dream are all about defeating the White Walkers.
Aegon's dream doesn't just exist to foretell future events, but shapes the ongoing narrative of House of the Dragon too. This happened in both seasons 1 and 2, with major ramifications on Rhaenyra Targaryen and Alicent Hightower's relationship, and the Targaryen family as a whole.
In House of the Dragon season 1, episode 8, a confused and dying Viserys told the story of Aegon's dream to Alicent, unaware of who she really was. With Alicent having no prior knowledge for the prophecy, she took it to mean that he was naming their son, Aegon, as his heir instead of Rhaenyra, thus leading to her pushing his claim and having him crowned King. The civil war may have happened regardless, but Aegon's dream directly led to the Dance of the Dragons.
House of the Dragon's reveal of Aegon's dream effectively serves to retcon its parent show, at least insofar as it was never said there before, and it does change how the events leading to Game of Thrones' ending are framed. If Daenerys and Jon had also known the Song of Ice and Fire, would their actions have been different? Perhaps.
Part of the point of prophecies in Game of Thrones is that they are often self-fulfilling, driving people to take actions they mat not have otherwise. Daenerys wanted the Iron Throne anyway, but paused her pursuit to help fight the dead; it's not totally unreasonable to think those events might have been reversed if she knew of Aegon's dream.