In Season 2, Episode 2, Theon Greyjoy travels to his fatherly home of Pyke, more precisely Lordsport Harbour, on the Iron Islands.
Theon convinced Robb Stark to let him go to the Iron Islands to seek an alliance with his father, Balon Greyjoy, and assured Robb that he would get a warm welcome. Theon believes he will be able to return with the Iron Fleet, in order for Robb to attack Kings Landing.
Theon is sorely disappointed when he sails into Lordsport Harbour, due to the lack of a reception.
Since these scenes Ballintoy Harbour, which is located on the Causeway Coast has become synonymous with Pyke and the Iron Islands as a whole.