How he goes out: In a truly insane moment, Arya kills the Night King in the midst of the battle rageing at Winterfell. At that point, the frozen dictator has just taken out Theon and is approaching Bran, sitting in his wheelchair, and things look dire. How can Bran possibly defend himself, you know? But then — THEN!!! — Arya leaps out of . . . well, I'm not sure where she comes from, but she practically jumps on top of the Night King with her blade at the ready.
He catches her by the neck, but in a shocking twist, she's able to drop her blade into her free hand and stab him in the stomach. The Night King then shatters into a billion little ice chunks, and every other wight and White Walker does the same.