The chief historical analogue to the ASOIAF's mercenary companies are the early Italian Renaissance companies known as the Condottieri. These groups of mercenaries acted as independent military contractors for the Italian city-states. For example, the White Company consisted of a polyglot mix of European soldiers, many of whom were veterans of the Hundred Years War. The White Company's most famous leader, the Englishman John Hawkwood, built up a solid reputation for fulfilling his contracts (much like the fictional Golden Company).
Although Machiavelli would castigate the Condottieri as feckless and timid foreigners taking advantage of Italy, most of their leaders and the bulk of their infantry were Italian in origin. Most of the captains were from the middling Italian nobility and used their holdings as a recruiting ground. A military career was a way for these men to advance their family and personal power. The Sforza family was the most dramatic evidence of this. They rose from a respectable Italian family to become the dukes of Milan.
Although the Condottieri had a reputation for being for sale to the highest bidder, the idea of a paid betrayal was more fiction than fact. As the Italian city-states built up a relationship with the mercenary captains, they introduced a variety of incentives to ensure their loyalty. This could include rewards such as new titles and lands for the captains, military equipment (armor is expensive), or a series of contracts that put the companies on 1/3 pay during peace provided they would serve in case of war.
The rise of professional armies spelled the end of the Condottieri system; but much of this process of military professionalization stemmed from the mercenaries themselves. As the relationships with the city-states stabilized, the captains became something of a Italian military aristocracy.
Sources
Hale, J. R. War and Society in Renaissance Europe, 1450-1620. Leicester: Leicester University Press, 1985.
Hanlon, Gregory. The Twilight of a Military Tradition: Italian Aristocrats and European Conflicts, 1560-1800. New York: Holmes & Meier, 1998.
Mallett, Michael Edward. Mercenaries and Their Masters; Warfare in Renaissance Italy. Totowa, N.J.: Rowman and Littlefield, 1974.
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