How he goes out: Jorah dies valiantly during the Battle of Winterfell, doing his father's memory justice as he takes out wights with his new Valyrian steel sword and protects Daenerys from certain death after she falls from Drogon and the dragon flees (to be fair, Drogon is covered in stabby wights himself at the time). Together they fight side by side for a while on the battlefield, but eventually the invading wights become too much and Jorah is stabbed a few times. He dies in Dany's arms, as Rhaegal flies over and protectively covers the two of them with his wing.