Here, we saw how Stannis seized the Wildlings with Mance Rayder and the dead were all burnt from the previous episode. Ygritte, of course, was burned separately after Mance and Tormund reminded Jon that she loved him, no matter what. And she died in his arms last episode, so that was tragic. Yet another character death.
Then, we go and see Daenerys in Mereen. A man's daughter has died because Drogon burnt her to death. The girl was three years old and Daenerys is forced to lock up the two dragons of hers that she knows are there while Drogon roams free in places unknown to her.
[Addendum:]
Somewhere in the episode Bran appears with Hodor and Meera and Jojen and Summer and they finally find the tree that they have been looking for. Jojen dies before he reaches it by being stabbed by a skeleton and The Children are finally shown. These faerie type creatures appear and Bran reaches the three-eyed crow telling him that he can never walk but will learn to fly.
Afterwards, Cersei confirms that she and Jaime have been having an affair for the longest time and Tywin denies it and she decides to go back to Jaime and stay in King's Landing because she wants to stay near both her brother and her son.
One of the final, and more important, scenes is the one that takes place after Podrick loses his and Brienne's horses. Brienne finds Arya and she and The Hound fight to the death, unbeknownst to either of them, I presume. This fight was intense as both lose their swords at one point and decide to kill each other brutally and mercilessly. Arya hides whilst this happens and later on finds the Hound. He practically begs her to kill him and all she does is steal his silver and leave him to die. After she walks away and takes her horse, she rides to a small harbor and asks a man to take her away to the Wall. He refuses, naturally, and says that she cannot have a cabin and will not even let her work to be aboard the ship. After he mentions that he is a Braavosi man she says the famous words Valar Morghulis and gives him the coin which was given to her in season to and he responds with the appropriate Valar Dohaeris and we see her leaving Westeros aboard the ship looking towards the small harbor from whence she departed.
This season finale is extremely important considering how both Tyrion and Arya left Westeros after struggling for the longest time, and how Tywin is finally dead. Additionally, Brienne now knows that she's lost Arya and that will be major next season. This was a good season finale, although far from perfect because it's execution felt a bit iffy at parts and the pacing certainly made the plot points feel less important than they actually are. Nonetheless, the show continues to be good and will definitely have a good season next year, as much has happened and the set up will be interesting for the fifth season premiere.