From the first book:
"I could tell you the story about Brandon the Builder," Old Nan said. "That was always your favorite."
Thousands and thousands of years ago, Brandon the Builder had raised Winterfell, and some said the Wall. Bran knew the story, but it had never been his favorite. Maybe one of the other Brandons had liked that story. Sometimes Nan would talk to him as if he were her Brandon, the baby she had nursed all those years ago, and sometimes she confused him with his uncle Brandon, who was killed by the Mad King before Bran was even born. She had lived so long, Mother had told him once, that all the Brandon Starks had become one person in her head.