Lucy Saxon

Lucy Saxon was the wife of Harold Saxon. She was the youngest child of Lord Cole.

She most likely knew that Saxon was the Master as she showed no concern over his actions, such as the brutal murder of reporter Vivien Rook. Lucy later accompanied Harold Saxon to the Valiant to witness the arrival of the Toclafane. She seemed to enjoy what he was doing and even was excited by how many Toclafane arrived to take over the world (DW: The Sound of Drums)

When everyone started chanting "Doctor", she joined in with everyone else on Earth and on the Valiant in chanting "Doctor". After the Paradox Machine had restored time to the point at which the US President had been killed, she shot the Master after Francine Jones was prevented from shooting him. (DW: Last of the Time Lords)

After the Master
Lucy Saxon was sent to jail following these events, for the murder of Harold Saxon and Vivien Rook (DW: Last of the Time Lords commentery). The prison will be featured in DW: The End of Time and may be called Broadfell Prison.

Behind the Scenes

 * According to the Last of the Time Lords commentary, following the timeline reset, Lucy was sent to prison, presumably for her murder of the Master or her role in the death of Vivien Rook.
 * Lucy Saxon spent a year aboard the "Valiant" married to the Master. By this point the Master had wives all over the world and was actively abusing Lucy (Last of the Time Lords episode commentary).
 * Lucy shows signs of Stockholm Syndrome.
 * Lucy Saxon will be returning for the last two specials, again played by Alexandra Moen. Her voice can be heard on the new trailer for DW: The End of Time. She said "he returns" before the Master is shown.
 * According to Russel T. Davies in one interview about what to expect in The End of Time, Lucy Saxon did not pick up the Master's ring

Links
Official Harold Saxon website