How she goes out: Melisandre unexpectedly arrival at Winterfell and sets about lighting a bunch of stuff on fire with her magic, telling Ser Davos that he doesn't need to execute her since she'll die by the end of the night, and giving Arya the pep talk she needs to kill the Night King. And then, once the battle is over and the North is victorious, she takes off the magic red necklace that has kept her youthful all this time, walks out into the snowy remains of Winterfell, and rapidly ages before turning to dust as Davos looks on. A mind-boggling end to a mind-boggling character.