Lucy Saxon

Lucy Saxon was the wife of Harold Saxon. She most likely knew that he 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
What happened to her after the events on the Valiant is unknown. It was possible it was her hand that picked the Master's ring from the fire but this has not yet been proved. (DW: Last of the Time Lords)

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).
 * Even though she knew who he truly was there was perhaps some form of Stockholm Syndrome
 * Lucy Saxon will be returning for the last two specials, again played by Alexandea Moen. Her voice can be heard on the new trailer for The End of Time. She said "he returns" before the Master is shown.

Links
Official Harold Saxon website