Spoilers start now.
There's one thing you should know about this finale: The ruling dynasty at King's Landing looks like it might be due for a shakeup after the events of season 4.
Mainly because this just happened:
... concluding a season with many references to dying on the chamber pot. Happy Father's Day, everyone! It turns out Twyin Lannister does not, in fact, shit gold.
This entire season has focused on Tywin's relationship with his children. Tywin doesn't understand family; he understands dynasty. Clearly a man that sentences his son to death or threatens his daughter with forced marriage doesn't really care all that much about his children. He's never made a decision for their benefit when it conflicts with his interests; Tywin wasn't even willing to feign sympathy for Cersei after Joffrey's death.
Paternalistic self-interest, not battle or fire, is what gets Tywin in the end. For all he talks about family, it's his weak spot. And where does this leave his Lannister dynasty? Jaime's vows will never permit him to father a child. Cersei rejects him, confirming the stain of incest on his family history. And Tyrion proves everyone has underestimated him, again. Tywin was a pretty terrible dad and his children bit him in the ass.
This is bad news for what's left of the Lannister establishment in King's Landing. Varys, the spymaster, is clearly no longer answering to royal power. Cersei, with all other senior Lannisters in the line of succession dead or unavailable, will return to being queen regent over Tommen. And Tywin earlier admitted the Tyrell marriage with Cersei is crucial to the survival of the kingdom, which is totally broke and heavily in debt to the Iron Bank. With Stannis' army and 100,000 wildlings at the Wall, Petyr Baelish plotting somewhere in the Eyrie and Daenerys building power over the seas, the seat of power at King's Landing looks very fragile indeed.
- Tyrion murdered Shae. What the heck? That was super screwed up and totally indefensible for Tyrion's character. Game of Thrones' list of unblemished heroes is down to Jon Snow, Ser Davos, Ser Barristan Selmy, Sansa and Daenerys (if you ignore her rampaging imperialism).
Some people are bound to be a little outraged at Tyrion proving himself capable of the basest murder, but he's always been willing to kill anyone that gets in his way or betrays him. Bronn has usually done it for him, though.
- Where is Tyrion going? Presumably, over the sea to the East, as he tried to have Shae sent earlier. Or possibly to the North, where he'll be beyond the reaches of his sister and the other Lannisters. Either way, it's pretty clear he has left King's Landing for good.
- What happened to the Hound? Arya left him for dead after Brienne of Tarth pummeled him to a pulp (even biting off his ear in what was yet another extended duel).
Whether she refused to deal him a mercy blow out of some lingering respect or hatred, your guess is as good as mine. Her little list is growing quite short indeed.
- Where is Arya going? Valar morghulis: All men must die. Valar dohaeris: All men must serve. That's an ancient saying in Essos and might have some further meaning to it. The token given to her by the assassin Jaqen H'ghar in an earlier season apparently carries some meaning important enough that the Braavosi trader immediately agreed to give her passage east.
- What happened to Daenerys' black dragon, Drogon? The charred skeleton of a child presented to her earlier was his doing, according to the poor peasant that carried his daughter's bones to see Daenerys. With the others locked up to prevent collateral damage, Drogon seems like a wild card for now.
- What happened to Littlefinger and Sansa? We last left them at the Eyrie, where Baelish was busy eliminating Lysa Arryn and shown to be plotting since before the start of the show. Sansa has apparently taken his side and shielded him from the ensuing investigation. Littlefinger is clearly starting to enter the biggest phase of whatever plan he's brewing (rebellion, maybe? or revenge for Catelyn Stark, who he says he loved?).
- What the heck happened up at the wall with Stannis? A brilliant move. Instead of rotting away on Dragonstone, he's used his meager remaining forces to force the submission of the wildlings at the Wall. Perhaps he's trying to prepare for whatever's coming from the arctic wastes (if he even believes it), or maybe he's trying to build a base of power in the North. But with Winterfell in ruins and the Boltons more or less rampaging around killing everyone that opposes him, that's maybe as shakey a place to be as his island fortress.
- What the hell was that tree? Whatever it is, it's ancient and has been watching Bran and the others since they were young. And it has weird forest elves that throw magic missiles. The whole sequence was a little over-the-top.
- Other observations: Apparently, walking corpses also come in Skyrim skeletal varieties. Jaime is gonna feel kind of awkward about freeing Tyrion when he finds his dad's body on the crapper in the morning. The coward Janos Slynt is still slinking around Castle Black. Grenn, whose death didn't get a lot of attention last episode, apparently has become a legendary figure by slaying the giant king, Mag the Mighty. And wildling leader Mance Rayder really just wanted peace after all, which is why he didn't send diplomats or anything. Duh.
- Book spoilers: George R.R. Martin better have a fire under his butt, because book readers will have noticed that parts of this season finale were straight from book five, A Dance With Dragons. Fans are widely skeptical that he'll finish the book this year or even next, meaning that the next season will either have to leave out elements of the plot, be a flashback season to Robert's Rebellion or (every fan's nightmare) go past the written books. The first five A Song of Ice and Fire books took 15 years to finish, so the odds of him keeping pace with the show just got a lot lower.