Rubbing salt in the wound, Arya's tremendous journey to find them dies with her family at The Red Wedding where she witnesses the Frey crossbowmen shooting Robb's direwolf Grey Wind and he passes as she watches on.
Catelyn's anguist at witnessing the death of what she thought her last living son, his wife and her grandchild to be caused her to take an innocent life before having her own throat slit, knowing all the while if she hadn't let the kingslayer go, the ending might be different.
After Robb attended to his dying wife and with his mother looking on in horror, he's pierced with arrows before Bolton lances him sending regards from the Lannisters -- the harbingers of evil. The race for the Iron Throne gets smaller.
Robb's wife Talisa was gutted, making her death even more horrific as her first thought was about her unborn child. She died as Robb and Catelyn looked on at what was supposed to be a grand affair and turned into The Red Wedding.
Drago seemed like a poor match for Dany at first, but they were perfectly suited and between them grew a great love. He seemed unstoppable, but was cut down by a flesh wound. Returned by Blood Magic as a changed being, Daenerys took her husband's life again so he wouldn't suffer.
Lord Mormont, who we once thought would guide Jon Snow as he took command of the Night's Watch, was stabbed in the back by his own men after surviving a fight with White Walkers. If you're old, don't take a bunch of men where they don't want to go and to a guy who's gonna withhold food. Hungry men will kill you.
Maester Luwin gets the shaft when Ramsay Snow (ne Bolton) attacks Winterfell and an Ironborn captain just knocks him to the ground and shafts him for no apparent reason. He was trying to counsel Theon. Maybe that was his punishment. He died later in the godwood, when Osha gave him the gift of mercy.
Arya learned how to use her beloved "Needle" that she received from Robb with help from dance master Syrio. The pesky Lannisters try to kill Arya and Syrio fends them off with a wooden training sword long enough for her to escape before dying off screen.
Lady paid the ultimate price for what her sister Nymeria did -- bit Joffrey on the arm to protect Arya (and because Joffrey is an ass). Ned had to put down Sansa's beloved direwolf proving proving our distaste for Joffrey was spot on. Nymeria now runs free.
Tyrion: Let me give you some advice bastard. Never forget what you are. The rest of the world will not. Wear it like armor, and it can never be used to hurt you. Jon: What the hell do you know about being a bastard? Tyrion: All dwarfs are bastards in their father's eyes.