Box Cutta
Bumbling Sidekick
Bronn, Tyrion's goon, was singing it before the battle of Blackwater in season 2:
Bronn singing the Rains of Castamere before battle - YouTube
Also Cersei told Margaery the meaning of the song the 8th ep this season.
Game of Thrones Season 3 Episode 8 - Margaery and Cersei - Rains of Castamere - YouTube
So it was obvious they were all about to die as soon as the song was played in this last ep.
Fred.
They also played a wonderful rendition of it as a "heroic theme" after Jamie saved Brienne :
Game of Thrones (S03E07) - Jaime saves Brienne from the Bear Pit - YouTube
Sorry about the sapphires....
Edit : Thoros of Myr was also singing it (Poorly as shyt) when he ran into Arya's crew : [ame="http://www.youtube.com/watch?v=4sMuRAZ0DIE&feature=player_detailpage#t=43s"]Game of Thrones Arya meets Thoros of Myr 3x02 - YouTube[/ame]