Some say that this has been the season of untrained rabble defeating seasoned warriors. That may be so, but I'd also say it's the season of horses:
First we have Petyr Baelish's Jet horse, taking him from Winterfell to King's Landing in the span of a single episode (a journey that takes the better part of two months - Winterfell is located three hundred miles from the sea, and if you look at a map, that distance is not even a fifth of the way to King's Landing).
Then this episode ramped it up. We then saw the Bolton Pocket horses, which can reside in the thousands inside the walls of Winterfell without being noticed by anybody before then. Seriously, every other Sansa scene this season should have had a dozen extras shoving horse dung over the walls in the background, and probably half again as many bringing food in the other way.
Last, the Dothraki Stealth horses. A horde of thousands of mounted warriors in full gallop can go unnoticed by a girl and her dragon, in a wide open landscape, until they're fifty metres away from her - and then she only hears the lone horse right in front of her, and not the thousands running at her from the other direction.
Honorable mention: Melisandre's Convenience horse. Hundreds of horses slain in the horse lines? Deserters running away with all those remaining? General starvation in the camp, forcing soldiers to butcher horses for food? Well, it Just So Happens (TM) that there is one left, ready for Melisandre to ride away on, and it takes her all the way to Castle Black even when its rider is in shock. What a clever horse.
Other than that - a nice way to end the season. Though, the Dorne plot could have been dropped. They could have had one scene with Myrcella's head arriving in a box at the start of the season, and pretty much nothing would have been lost. No character development, no relevant plot development.
Seeing Stannis go, off-screen, well... had there been anything for him to come back for, I'd say he's no deader than he used to be. But it seems the series is going to cut down on its characters, and Stannis has had his buildup and his downfall already. Lost his men, lost his only child, lost his wife, Melisandre abandoned him, and it's been clear from the beginning that he is not Azor Ahai reborn. In the books, I'd say he has a fairly good chance of survival, but without Wyman the Wonderful on his side, Show!Stannis doesn't seem to have such a bright future.
On to Brienne, who were with Stannis (for some reason...). Sansa and Theon have just jumped off a wall (one full storey taller than the one which killed Myranda, but they have plot armour and will probably be just fine), and could need some support. With Stannis out of the picture, Brienne and Podrick are in dire need of a new plot line. I guess they'll be heading to the Wall in the next season, to meet Jon. Also, because where else can they go?
Tyrion, Missandei, Grey Worm and Varys ruling Meereen: If done well, this could have been a series of its own. Let's hope the writers do a good job here. The Meereenese will never even know what hit them.
Also, props to Lena Headey, or maybe her body double. That scene could not have been the easiest one to film. Requiring the actress to be naked, filthy, and have strangers screaming obscenities at her. For several takes. It must have taken days. That has to be quite psychologically tough, no matter how "pretend" it is. Oh, and there are cameras too.