GoT is far from accurate. The houses were not as lavish, but the women working in brothels kept clean beds and linen. Much like modern brothels, they were seen as a necessary evil, and there were ordinances in many places that regulated them. Regulations concerning Prostitutes Dwelling in Brothels from the city of Nuremberg, dated around 1470 states the following:

Also, the brothel keeper, man and woman, must provide the women living in their house with chambers, bed linens, and decent food, and they must feed them two meals a day and at every meal two decent dishes; and for such expenses each common woman living in the brothel must give the brothel keeper separately the sum of forty-two pence weekly, whether she uses the food or not. In addition the brothel keeper must make and hold a bath at least once a week in the house for the women living in the house, and this at his expense, not the women’s.

Further reading:

Bawds, Pimps and Procurers: Images of the prostitute in medieval England (opens to PDF)

Medieval Prostitution in Secular Law: The Sex Trade in Late Medieval London, Paris, and Toulouse by Suzanne Meade

Were Medieval Prostitutes Marginals? Evidence from Sluis, 1387-1440

Medieval Prostitution by Jacques Rossiaud

Common Women: Prostitution and Sexuality in Medieval England: Prostitution and Sexuality in Medieval England by Ruth Mazo Karras

edit:

fixing link.

I found one similar answer in: http://www.reddit.com/r/AskHistorians/comments/24xlsw/what_common_medieval_fantasy_tropes_have/

/u/Naugrith writes:

Were brothels as common as in George R. R. Martin and Terry Prachett's books?

In urban areas, especially ports, probably far more so. But probably not purpose-built ones. Most inns and taverns had prostitutes attached, so customers could partake if they wanted. But having a building that only offered whores, and not a common room for drinking and carousing as well was bad business. Specialisation was rare. If you wanted a private service without the sounds of other customers through the walls, high-class prostitutes might operate out of their own homes, but this would probably be pretty expensive.

This thread might also offer useful information:

http://www.reddit.com/r/AskHistorians/comments/1j5nlr/in_early_times_where_brothels_and_prostitutes/

George Martin borrows heavily from British history (he uses other sources too) but I'll concentrate on the British side. The general view is that they were considered a necessary evil to deal with the urges of men before they were married and whilst they travelled.

For the Church, if we go further back to the 4th century, St Augustine stated in "De Ordine" that "If you do away with harlots, the world will be convulsed with lust." In the 12th century or so St Thomas Aquinas wrote in Summa Theologiae that human laws "leave certain things unpunished on account of the condition of those who are imperfect, and who would be deprived of many advantages, if all sins were strictly forbidden and punishments appointed for them". Aquinas went on to say that the secular world should not punnish every bad deed but rather concentrate on those that threaten social order. See this for more.

You might also want to look at "Prostitution in the Normal Canon Law" by James A Brundage. The same author further expands this in his book "Law, Sex, and Christian Society in Medieval Europe".

They were regulated and only permitted to ply their trade officially in certain areas. In London, it was generally South of the River Thames, where the brothels were situated which was controlled by the Bishop of Winchester who regulated and taxed them and were known as "Winchester Geese". You can find a short description of them here and here.

It was common during medieval times for merchants to cluster together and for streets to be named after their business such as "Fish Lane". In medieval times, there were streets called Grope Cunt. Subsequently many were renamed from the the 16th Century.

This reddit answer gives a bit of background, although it was in answer to another question about contraception.

Note that public bath houses existed back then and were frequently associated with prostitution to the point where "the stews" was a nickname given to a bathhouse and often also a brothel (the name even ended up in Shakespeare).

I would like to quote this gem from Common Women : Prostitution and Sexuality in Medieval England: Prostitution and Sexuality in Medieval England by Ruth Mazo Karras Associate Professor of History Temple University.

In 1475 the mayor of the town (Sandwich) granted a quitrent in exchange for land "to make a common house of stews called the Galley". That this bathhouse was not simply a place for people to get clean was indicated by a 1494 provision "that a house shall be ordained for common women like it has been accustomed". The following year the Sandwich council set down the regulations for the keepers of the town brothel. They were to charge their maids sixteen pence a week for room and board, to refrain from beating them and to sell them ale at a fixed price.

So nothing like the world of a high-end brothel run by Littlefinger that Tyrion would frequent. This is more the "Courtesan" level. They certainly existed (wasn't there a reference in Chaucer), but whether they would form a "house" together is another matter.

Edit: Expanded the reference to the legal framework to show it was regarded by society. Added further info on the thoughts of St Thomas Aquinas.