With Ned's death we learned that nobody is safe on Game of Thrones. Ned was the hero, the honorable man who was trying to do right by his family and his people in the wake of the death of his friend and king. Joffrey lopped his head off, later putting it on a spike and parading his fiancee Sansa by to gaze at it. All is not right in this world. Will it ever be, George R.R. Martin?
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.
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.