This is the second season finale in a row in which Arya's last line is "Valar Morghulis".
In the novel, Arya and Sandor never see Robb's corpse being paraded around the Twins with Grey Wind's head sewed onto it. It is revealed to readers from Tyrion's POV when the news of the Red Wedding reaches King's Landing. Robb's iron crown was also nailed to Grey Wind's head off-screen. The novel also reveals that Catelyn's corpse was thrown naked into a nearby river, as a mockery of House Tully's funeral traditions.
Last appearance of Ed Skrein as Daario Naharis, who was recast with Michiel Huisman for the remainder of the show. Skrein told Entertainment Weekly: "My plan was to stay with Game of Thrones for the long haul. That was always my plan. I would have loved to. It was a wonderful experience, but politics led to us parting ways."
Tyrion warns his father "The northerners will never forget [the Red Wedding]". This is the first time on the show that the saying "the North remembers" is spoken on-screen, though not in its exact words.
Arya confirms to the Hound that the Frey soldier was the first man she killed. She emphasizes 'man' because her first kill was the stableboy in The Pointy End (2011), whom she mortally wounded while escaping the Red Keep after the massacre of the Stark household. Even then, both in the book and the series, the boy's death was mostly accidental since she acted in a reflex, and it wasn't a truly deliberate kill like the Frey soldier.