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
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) It was confirmed in one interview that she did not pick up the ring and it was complicated, it was confirmed in the Last of the Time Lords commentary that she was sent to prison; in the End of Time Trailer, she is indeed seen in 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 The End of Time. She said "he returns" before the Master is shown.
 * Besides the speculation as to whether Lucy is shown picking up the Master's ring, another frequently published piece of fan speculation is over whether she might be the Rani, either in disguise or under the influence of the chameleon arch.

Links
Official Harold Saxon website