Long Lake is a large lake in the north. It is located northeast of Winterfell, east of the northern mountains, southwest of Last Hearth, and west of the Lonely Hills. The kingsroad runs along its northwestern shore on its way to the Wall. Long Lake is the source of the White Knife, which flows south into the Bite. There is ice fishing on Long Lake.
In 226 AC, the shore was the site of a battle at Long Lake, which saw Stark and Umber forces repel Raymun Redbeard, a King-Beyond-the-Wall who managed to bypass the Wall. Brothers of the Night's Watch buried the dead of the battle.
A Dance with Dragons
When Melisandre tells Mance Rayder she had a vision of a girl—believed to be Arya Stark—in grey on a dying horse near a large body of water, Mance assumes she is speaking of Long Lake. Instead of Arya, Alys Karstark eventually arrives at Castle Black.
Melisandre: I saw water. Deep and blue and still, with a thin coat of ice just forming on it. It seemed to go on and on forever.
Mance: Long Lake.