Hodor.
The connection between R'Hllor and the Red God is a murky for a non-book reader. Without this thread I would think that Mellisandre's Lord of Light and Jaquen's God of Death are two separate Gods. I mean yeah she wears red, and the faceless man called him the Red God. But Mel's god is the god of light and fire, and you can't HELP but think that Jaqen's god is the god of blood and shadow. Not that it's a big deal, and they've already established the Lord of Light is "the one god" -- so if he's zoroastrian who gives, and it will take all of 20 seconds worth of conversation between Ayra and Mel or Thorros or who-the-fuck-ever to make that clear. And that would be an "Oh. Well that makes sense" scene.
I'm just sayin I doubt many people make that connection without extra-HBO aids. It's there, but it's a little too subtle for television. Unless there was a scene I've forgotten where someone said, "Oh yeah, that's the same God-dude". Which is possible.