Game of Thrones begins with the Starks finding a litter of direwolf cubs, one for each of the children. The Stark sigil is a direwolf, and they all have a natural affinity with the animals, and Sansa and hers - which she names Lady, because being a proper lady is everything to Sansa at this point - are no exception. When Joffrey arrives at Winterfell and starts being all, well, Joffrey, he ends up being bitten by Aryas direwolf Nymeria. Although the attack was provoked, Sansa sides with Joffrey and corroborates with his story against her sisters, which leads to a death sentence for Nymeria. Since the wolf cant be found, it is instead Lady who is executed, despite being totally innocent. That lays down a bit of a marker of the entire series, really.