Stannis Baratheon from A Storm of Swords is the only surviving Baratheon. His parents died in a tragic storm at sea, while his brother (King of the Seven Kingdoms) Robert Baratheon was killed by a boar while hunting (Cersei had him poisoned while hunting). Renly was killed by sorcery by Melisandre the red woman, loyal to Stannis.
Stannis has a daughter named Shireen who suffers from the GreyScale that covers her face. His wife, Selyse also worships R'hallor the Red God, whose sign is fire. Melissandre has fabricated an elaborate propoganda campaign stating that Stannis is a god returned to human form.