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Nightmare Fuel: The North Remembers
The death of Jojen Reed. Particularly the part when the Meera discovers just how broken and frail he's become after giving his life energy to Bran in order to become the next three-eyed raven. And then Meera and Hodor are left unable to do anything but to watch helplessly as Jojen dies in front of them, as the Children start to sing about his demise.
As a result of The Wall collapsing, the city of Braavos is sunk by a massive tidal wave, with Arya, Ser Justin Massey and Tysha barely escaping the destruction in time. Those who were not so fortunate to escape however...
"The rest would lie forever among the broken bones of stone, sinking, sinking, sinking. Dear gods, such a long way down."
Cersei trying to rape Jaime in his cell. He's injured, tired, malnourished, and can barely fight her off.
Every time the Children use the blood of a human to feed the wards. By biting chunks out of them. Poor Sam. . . .
Ramsay drinking a cup of Davos' poisoned blood to attain immortality by turning himself into an Other.
Chapter 99 At the climax of his duel with Robert Strong/Gregor Clegane, Sandor removes the other's helmet in order to strike the final blow...Only to see Robb Stark's head grafted onto Gregor's body instead.