Lucy Saxon was the wife of the Master, who at the time was known as Harold Saxon. She was aware of his true Time Lord self and was to be his queen of the Time Lord Empire he created with the help of the Toclafane.
She had a good education, a good family, wasn't espessially bright, but essentially harmless. As his queen, he taunted her and abused her but she still followed him up until the end. When the Doctor reversed time so that the take-over of Earth never happened, he was planning on keeping the Master prisoner when Lucy, relising his evil, shot and killed the Master.