|These people were also in this episode, apparently|
(TV spoilers beyond mortal comprehension after the jump)
Look. I don't want to talk about this episode. Not just because of the massively unpleasant experience of watching its conclusion - even having read the relevant chapter at least twice doesn't really prepare you for seeing it acted out by people you've been watching for three years. Not even because the show's use of Talisa strikes me as problematic here, a cheap attempt to ramp up an already tragic scene by stabbing a pregnant woman in the belly - exactly the kind of "violence against women is bad which is why we use it so often" logic that causes problems in so much "grimdark"  fiction.
Mainly, it just seems pointless trying to tease out themes and motifs from an episode so totally devoted to delivering a single, almost unbearable gut punch, and I don't really want to discuss the final scene itself, because others are far better at scenic breakdowns than I am (SEK has promised to do something on this subject over at Lawyers, Guns & Money, so I recommend keeping an eye out there).
That said, I do want to pass brief comment on a couple of things. There are two ideas running through "The Rains of Castamere", both of which are fully driven home when we get to what we can finally call aloud "The Red Wedding". The first is an idea familiar to anyone who knows anything about Chaos Theory, or even just read Ian Malcolm's bits in Jurassic Park; when things start to go wrong, everything can fall apart exceptionally quickly in a cascade of interlocking problems. Often you can point at a single event, perhaps even a pretty small one, at the point where problems began and the system spiralled out of control. There's even pretty fractal graphs one can draw to demonstrate it. Really, though, we're just talking about the pebble that starts the avalanche.
The use of this idea in the Red Wedding is entirely obvious, but it appears elsewhere in the episode as well. We see it twice in the events around Yunkai. The first comes when gaining access to a small gate in the city walls leads to the whole place falling in the space of a night. The second is, I think, far more powerful, in no small part thants to Iain Glen's phenomenal acting, and occurs when Mormont reports their hard-fought victory to Dany, and all she wants to know is whether the new guy made it back alive. The look on Mormont's face is heartbreaking (which, of course, is exactly what's happened). Mormont can now divide his time with Dany as being before she said what she just said, and after it. The avalanche that might follow this pebble we will have to wait for, of course.
It's not just in the dusty wastes of Slaver's Bay that we can see the birth of swirling chaos. I should note that chaos isn't necessarily a bad thing, since sometimes control is better thought of as limitation. Bran's newfound ability to take over people - such a little step, from a direwolf to a simpleton - may be the first step in a wider awakening that might end up of great benefit in the coming war against the White Walkers. On the other hand, a young boy capable of controlling adults isn't exactly an obviously good thing, either (there's a Twilight Zone episode about this very idea, albeit with a more powerful kid), and at least at first Jojen Reed, currently our go-to character for information of the mystical, doesn't seem unambiguously happy at what Bran's pulled off.
Still, at least there's some potential for good there. Rather more obviously unfortunate is the collapse of Jon's mission to infiltrate the Wildlings. Over such a little thing, too, running into one old man and his horses. There really is a powerful argument to just let the Wildlings kill him - he's not going to last long in any case if Mance Rayder gets his way, and Jon right now is the one best placed to stop that - but Jon's never going to do that, is he? Like Robb, he's just too much like the man who raised him. And so a loud noise and a refusal to murder an unarmed man leads to Jon being sentenced to death by Tormund, and a battle that kills one recurring character, Jon's cover, and his relationship with Ygritte, all in a few moments of swordplay and horse riding.
Having mentioned the link between Jon and Robb, let's move on to the second link, which is all about the Starks. Martin has said on more than one occasion that killing Ned Stark was a deliberate subversion of fantasy literature, in which no matter how bad things get for the noble main character, they always win out in the end. So Ned gets the chop to prove a point. However, if anything there is another even more common trope than "noble lord wins the day", which is "noble lord is killed and avenged by his noble son". So that had to be subverted too, and so Robb dies at the Red Wedding, undone first by his decision to marry the woman he's screwed rather than the woman he's promised to. Noteably, the book does a better job of explaining this, in Storm of Swords Robb has sex with the daughter of a lord whose castle he'd captured, and decides he must therefore marry her rather than have her shamed. "He chose her honor over his own", as one character puts it.
This means that his death at the Twins is a direct cause of three primary mistakes. Firstly, he assumes that because Lord Bolton has sworn himself to the Starks, he must be trustworthy. Secondly, he assumes that having eaten at the Twins, he is safe by the customs of Westeros. Thirdly, he chooses what he believes to be right over what is clearly the best strategic choice.
All of these stem from the same problem, which of course is the same problem Eddard suffered from: an assumption that there is a right way to do things, and that everyone will play by those rules. A refusal to bend one's principles, even in the face of situations where it's not just to your own benefit to show some flexibility, but for others too. How many of Robb's men died at the Twins? How many Riverlanders will die as the Lannisters and Tyrells reconquer them?
It's not fair to say Martin is punishing nobility, but he is punishing a specific kind of solipsistic superior nobility in which honour is serving as an alternative to rational thought. Nine times out of ten "I have no choice" is a lie, the truth beneath being "I don't want to think about the choice I have". Choices like, for example, whether to kill a single man in order to continue the mission your previous commanding officer sacrificed his life for.
This does not seem to bode well for Jon Snow. As Teebore says over at his place, after this episode it's become can very easy to put together a search protocol for the major character most likely to die next, and it's pointing pretty squarely at the Night Watch's newest steward. And not just because of his attitude, either, but because Jon belongs to another fairly exclusive club along with Robb and, less literally, Eddard: all three of them fight pretty much the only three conflicts in the story that are unambiguously righteous. The attempts to end the Lannister conspiracy, the war to free the Riverlands and protect the North, and the struggle to keep the White Walkers on the north side of the Wall, all of these are easy for the reader to recognise as being at the very least necessary.
We're now quite clear on how Martin views what happens to people who strive to do what they believe is necessary.
 Which is a phrase I have little use for in general, mainly because it's so often attached to arguments that boil down to "authors who write about unpleasant worlds must enjoy the unpleasantness". In this case, though, I can't deny that Talisa comes across as a deeply cynical use of a character - cast a gorgeous woman, show her naked, get her pregnant, stab her to death. As always with this show, the guiding principle is that if you're doing something more unpleasant than Martin came up with, it should be cause for concern.
 I've never understood why some book readers are surprised that show-only viewers got upset when this phrase was bandied about. Really, people, it is not that fucking hard to work out "Red Wedding" means a wedding in which significant blood is spilled, because Martin did not invent the idea that "red" can be synonymous with "violent". Sitting through every wedding the show does wondering whether this is the one in which shit goes down is spoiling one's enjoyment, indeed arguably it's more of a spoiler because you have to go through it every time until the actual Red Wedding gets underway.