In the original book series by Martin, "A Song of Ice and Fire," Vhagar is mentioned briefly by Tyrion Lannister (played by Peter Dinklage on "Game of Thrones"), and her basic stats are pretty intense. For starters, Tyrion notes that Vhagar is so massive that a soldier could easily ride a horse down her throat, and that her breath was a high enough temperature to not only melt any knight's armor, but basically roast him right on the spot.
So where is Vhagar right now, and what's her importance to "House of the Dragon?" Partway through episode 2, "The Rogue Prince," King Viserys I (Paddy Considine) tells Lady Laena that he's not sure where Vhagar is at the moment, but that she's far too large to reside in the dragon pits of King's Landing anyway. While it's relatively unsettling that Viserys and his advisors have, you know, lost track of an enormous fire-breathing murder machine, there's little doubt that Vhagar will appear in the series eventually, especially considering that we've already met a few of her riders.