This will be some comments on changes from the book versions.
"Dance of Dragons", the book within a book in the last episode, isn't just about the horrible futility of choosing sides in a civil war between family members. It's about a couple of things:
a) The lengths people go to to achieve and maintain power, even sacrificing and fighting with their family members (hmm, wonder why that was in there with Shireen reading it).
b) The fallout from the civil war included a change to the gender politics of the Game of Thrones universe; namely that women were partially cut out of the line of succession, where sons would precede them as kings instead of queens. Regardless of whether they were better suited or not for ruling a kingdom.
One additional reason that matters: The Dornish subplot in the books includes, rather than an attempt on Myrcella's life (though that's implied too), an attempt to place her on the throne instead of Tommen. We've already been shown that the Dornish don't have the same sexual and gender politics as the rest of the kingdoms through the relationship between a prince of Dorn (Oberyn) and a bastard girl (Elleria), for instance. This could still manifest in the show though it doesn't appear to be about to so far. It would have made the usually tedious and ill-shot sequences in Dorn a lot more interesting (Bronn's singing is about the only viable portion of these).
We are seeing that women are just as capable of being quality rulers and just as deluded about their ability to do so. A contest between and within the Lannister family tree over proper claim to rule would be an interesting subplot. Even as their grip on power slides rapidly out of control without this, it would hasten the demise and provide more background to the "history doesn't repeat, but it rhymes" mentality of the show, or as Dany calls it, the wheel grinding through the land.
We've also already been shown Cersei's life quest for power and then how poorly and incompetently she exercises it. And we've already been shown Dany's quest for power and how inexpertly she exercises it when she has it (Tyrion's line about killing and politics not being the same thing still matters), but also how well she learns various lessons about power, and the destructive ends that people go to wield it and whether that is appropriate or not (she tends toward not so much).
The show version just showed us the destructive ends that Stannis is willing to go to, and there are hints that this was somewhere the book version will end up going too. This isn't that far-fetched. He's being told by a set of religious fanatics that he's the one true hope for mankind, and just won a decisive victory at the Wall some weeks earlier to help cement that claim. What lengths wouldn't someone in those circumstances go to? He's been burning people alive throughout the show ever since he first appears (burning people at Dragonstone). Including Mance in the first episode of this very season. It's like people forgot this fact about him that was still in the background because he was correcting grammar and appeared to be a good (but stern) father for a few episodes after playing a badass finally by winning a battle that appeared lost. He can be terribly pragmatic and logical, but he's very single minded where his ambitions and purported destiny are concerned. "Thousands (will die)" at the Blackwater, he says during that battle. It is of no concern if the ends are met.
I'm generally very confused where people end up blaming the show runners (D&D to the internet) for things that are basically what Martin intended to do with the same material. All of this was built up throughout the season as Stannis' supposed redeeming quality, and a quality that he would have to sacrifice, and was told he would sacrifice by Melisandre to claim what is his. All they did here was heighten the emotional stakes for something terrible, as happened with the Red Wedding, and the Sansa's/Ramsay marriage and the assaults involved on her (instead of some nameless character). This is more or less what we'd expect a TV show to do.
Where I think they can be faulted is by submarining some of the other plots rather than by doing things that were always hinted at or intended. They've been touching on the gender politics of this world, but often very clumsily and without the overt signals of the past world to provide hints or clues to say that they're (probably) about to be overturned once again. They also buried the rise of some of the more egalitarian groups like the Sparrows (it's not made very clear how a bunch of religious fanatics would have amassed that much power in King's Landing even with Cersei's help), or the R'hollor worshipers, like Stannis, in the wake of a lot of violent political upheaval. We saw how horrible the road was by following Arya and the Hound around, but we haven't really seen how bad it is for regular people that they'd be turning to religious fanatics to protect them. I suspect these subplots concerning the plight of the regular folk matter quite a bit to Martin's themes, which is why several characters's POV arcs mostly consist of wandering around. These are naturally condensed because they're likely boring to portray on screen (Dany's season 2 arc showed us this), but they shouldn't be totally cut out either. That balance hasn't always been well-maintained.
Second bit I'd point out is that as much positive press as last week's episode got for delivering up fan favorite chats between Tyrion and Dany, and the half hour ice zombie slaughterfest, complete with a giant smashing wights and Jon's "I guess I've got one of those swords" look with the White Walker, the episode was not a positive one throughout or in its ending. Tyrion's "advice" to Dany mostly consisted of him telling her how wise she was in one breath and then telling her it's all going to come to a poor conclusion in the next, and the battle at Hardhome, though the crucial characters escape with their lives, is a total catastrophe. This is not a show (or a set of books) that's calculated for people to come away from an episode thinking the world they are watching is about to be spinning in the right way any time soon. It's a subversive show about the problems of both governance and the fantasy genre. And that means that happy ending scenarios are going to be few and far between.
If you think something awful is about to happen, you should be preparing for it if you're going to watch this show. Book readers have experienced this throughout, knowing that not only is some awful thing about to happen, but they know more or less what it will be, and only now are getting a few major twists and surprises.
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