From South to North, West to East:
Jaime's sailing back to King's Landing with Bron and his daughter's body, who was poisoned by Ellaria Sand.
In KL, Cersei is back in the Red Keep with Qyburn and Zombie Mountain, plotting her revenge against the High Sparrow who made her walk naked through the streets. Margary and Loras are still locked up by the Faith Militant and King Tommen is moping around in his bedroom
Baelish remains Lord of the Vale. His son by marriage to Lysa, Robin Arryn, is being trained up as a man by one of the knights of the vale.
The Greyjoys, remember them? They're back this season.
Stannis has been killed by Brienne, having burned his daughter alive and his army defeated in open combat by Roose Bolton's forces outside Winterfell. Roose rules the North and has married his legitimised bastard Ramsay to Sansa Stark in the hope of winning over the Northerners. Sansa has escaped with the help of Reek/Theon and is on the run.
Rickon and Osha are still at Last Hearth (which is even further north than Winterfell) with Stark bannermen, the Umbers.
At the wall, Jon Snow is dead, betrayed by his men. Aemon Targaryen is dead by old age. First Ranger Alliser Thorne now commands. Hundreds of Wildlings, rescued by Jon from the White Walker attack at Hardhome, are camped outside Castle Black, nominally led by Tormund Giantsbane. Mellisandre is there too. Samwell Tarly has left the castle, along with Gilly and Little Sam, for Old Town and the Citadel to become a maester.
North of the Wall, the Night's King leads the White Walkers in their unstoppable march South. Every conquest swells their army. Bran's training his warging magic with the One-Eyed Raven and the Children of the Forest, under a weird tree.
Over the narrow sea, Arya Stark has stolen a face from the house of black and white and killed Meryn Trant of the Kingsguard (he killed her fencing tutor back in S1). The Many-Faced God is displeased and has taken her sight as payment.
Daenerys escaped an uprising of the Sons of the Harpy in Mereen, by riding her dragon Drogon North. She has been captured by a Khalasar of Dothraki. Jorah (secretly infected with greyscale) and Daario go looking for her.
In Mereen, Varys, Tyrion, Grey Worm and Missandei rule in Daenerys' absence.
I think that's everything.
