Because Game of Thrones is set in a medieval timeline, there is no form of digital communication that allows information to be exchanged. This means the show resorts to classical methods used at that time. These methods are:
Spying is a highly efficient communication method in Game of Thrones. Each spymaster has “little birds”, which is a term for children who provide the spy with valuable information. These children are usually enticed into serving their masters, such as by luring them with candies (as shown by Qyburn offering candies in exchange for gossip).
Intelligence gathered from spying is usually restricted to a few people with lots of connections. Varys is shown to be the most popular spymaster, being the King’s official spymaster. He seems to know updates on every important person and situation in Westeros as well as Essos. There are, however, others as well, such as Cersei and Littlefinger.
The method of spying is bound to be factually inaccurate, as each time the information is passed down to another person, it is subject to being changed slightly. This is why information from spies is normally referred to as a rumor, possibly being incorrect.
It is, however, a fast method, as shown by instances where spymasters already know what happened across the world very recently.
The idea of using birds for communication was used for many centuries, with variations being the type of bird chosen (doves, crows, etc). Ravens were often chosen as a desirable bird because they could be taught a variety of words and phrases, and are intelligent animals that can be trained to serve as messengers. While doves and pigeons can also be trained to carry messages, ravens are stronger flyers, larger, bolder, far more clever, and better able to defend themselves. They can fly great distances at speed, and are good at remembering paths. This is why ravens are used extensively in Game of Thrones.
Note, however, that ravens are only used by a handful people because they need to be trained. Ravens carried pieces of messages between the castles and cities of the Seven Kingdoms. They were normally used by maesters of rulers and powerful people to deliver important messages. This is why whenever a raven arrived, people would open the messages with dread, because it normally contained news of deaths, wars, attacks, etc.
Ravens are a fast method of communication. However, it is easy to block communication by restricting ravens’ passage, or shooting them down during flight. An example is when Theon kills all ravens in Winterfell to restrict information of the ongoing siege.
One special use of ravens is shown in the finale of Season 6, when the Citadel released white ravens used only to inform others of a change in seasons (in this case, the information that Winter is here).
Scrolls is simply the word used to represent written communication. Scrolls are different from the messages carried by ravens, because they were directly delivered, and had seals. Scrolls were pieces of paper rolled up and closed with a wax seal. This seal was stamped with the sigil of a house to denote the source of the message.
Scrolls are taken as a separate method than ravens because while ravens represented delivery of important news, scrolls represent messages sent by royal houses. This is different because these messages may or may not contain important information, but their important comes from the source, not the actual content. Hence a scroll is symbolically different from raven messages. When an important person sends a message, the show depicts someone breaking the seal to open a scroll, such as in the Season 6 Finale, when Jon Snow reads Cersei's beckoning from a scroll. In this case, the scroll was shown along with the seal for dramatic effect, because showing the seal on camera creates suspense when the audience recognise the seal is from King's Landing. On the other hand, ravens show a rolled up paper without seals (i.e. they don't carry scrolls, but simply paper).
This is why scrolls were shown less frequently: they were only sent by royal houses with their own sigils and seals. It is important to note that scrolls could only be read by the literate and so were not a common communication method for the masses. Scrolls were the 'royal' method of communication.
These three methods are the ones most commonly used for the exchange of information in Game of Thrones.
Two roads diverged in a wood, and I--