Calm down, people.
Let me assure you of a few things.
1) Jon Snow isn’t dead and Kit Harington is coming back. You have never heard that actors lie? Or that they act?
Jon Snow is the hero of this story. Fantasy heroes are almost always resurrected in order to find their greatness. Start with Jesus, take a brief and not quite analogous stop at Star Wars, and work your way up through Harry Potter.
In Game of Thrones, and anyone interested has heard this by now, there’s a prevalent prediction about the coming of the Prince that was Promised, Azor Ahai. Melisandre thought this was Stannis but it seems clear now that she was wrong. That’s why she bowed her head and returned to the Wall, oh and also because she’s a freaking coward who burns little girls alive.
Anyone schooled in fantasy literature knew from the moment we met him that Stannis was the wrong guy. These characters always start out as the most naive, the most pure of heart, the most unlikely. Sound like anyone we know who’s currently lying in a pool of blood and snow?
Also, the burning of Shireen might not have been for naught and so far that power hasn’t been used for anything. Melisandre bailed on Stannis but there’s someone she likes who’s lying right in front of her who could probably use a blood sacrifice right about now.
2) Stannis also isn’t dead, as much as he deserves to be. There was a reason the producers didn’t show us the killing blow. Brienne took a moment to think. She’s a woman, she’s not all ruthless violence like everyone else in this show. (What’s that you say? Arya is a woman? Well, she pretended to be the boy Arry for a while so let’s say she identifies flexibly.)
There’s more value in Stannis alive than dead. She doesn’t know that Sansa has fled, but she could theoretically trade Stannis for Sansa. Moreover, she got a confession out of Stannis and she had been accused of killing her beloved Renly herself. Who better to clear her name than an alive Stannis?
3) Speaking Sansa, she’s not dead either, nor is she paralyzed. Have you ever watched a snowboarding video in which people jump off cliffs and land in a pile and powder to emerge unhurt? Same principle going on here. I’m not saying it’s a great idea to jump off a high wall into the unknown below, but in Sansa’s case staying was far worse than taking the risk of going.
4) Danaerys isn’t captured. Well, she may be temporarily, but these are Dothraki and these are her people. What they are is an invading army, which would handily solve her problem with Meereen. Imagine Danaerys riding into Meereen with her Dothraki army, rallying the Unsullied around her and freeing her other two dragons. Once they regroup from that, the whole party heads to Westeros, taking Kings Landing and then eradicating the White Walkers, melting them in hordes with the breath of dragon fire.
5) Cersei is going to have a lot on her plate next season. She’s going to have to quickly overcome her PTSD to take her revenge both on the Martells and on the Faith Militant. The long-game, never mind a two-front war, has never been Cersei’s strength so we’ll see how that goes.
Weiss and Benioff must be rubbing their hands in glee right now. Their evil plans turned out exactly as they wanted. Everyone is fooled. Until season six …