Jon's not dead - too obvious with Melisandre being brought back to Castle Black just in time. They've dropped every hint possible that he's a Targaryan, and his place will be as King of the North once Dany takes over. Bolton's flags will burn, but it will be at the hands of Sansa/Jon. I am interested to see what happens though with the prophecy that Dany received from those dudes who tried to take her dragons and she burned them up - remember, they said there was three heads to the dragon. If it does turn out that Jon is her...nephew, right?...then there should be a third, but there hasn't been the slightest inkling...
Those were obviously Dothraki surrounding her - will they be on her side, or will they be a real issue for her? Remember, there were a number of Dothraki that weren't all too pleased with her...
Sam going off with Gilly is an odd one to me, because it really takes him out of the story. It's not like there's anything particularly interesting about him, Gillly or the baby that would keep them in a regular story line. It will be interesting to see how they take this, and whether we see them ever again, and if we do, under what circumstances. I really like Sam, but unlike Brienne, I don't think he's interesting enough to carry his own story line.
When thinking about Stannis and Jon's 'deaths', I was reminded that on this show, most permanent deaths happen in regular episodes - not the finale. But I might just be forgetting someone - is there a character that died in the finale and was really dead? When did Khal Drogo die, episode 9 or 10?