I'm glad they got caught. That will 'teach them a lesson'! [=they will learn that they should not do that again]
We 'learned our lesson' the hard way. [=we learned from an unpleasant experience]
They studied the 'lessons' [='teachings'] of the great philosophers.
(..) Westerosi customs are still a bit foreign to me. It's hard to keep all the rules straight. But if I remember my lessons, a woman of noble birth is always called a lady unless she's a queen or a princess. I could find (..)2012 TvShow: Game of Thrones Title: The Old Gods and the New Season: 2 Episode 6