The title of the episode refers to…
Some of the Night’s Watchmen, including Tarly and Jeor, survive the White Walkers’ attack and pledge to return to the Wall to warn the Seven Kingdoms.
Jon Snow is brought before Rayder, the “King beyond the Wall”, and pledges his loyalty to the Wildlings.
A scarred Tyrion tries to get Casterly Rock from Tywin, who promises other things instead.
Margaery engages in charity work with the orphans of King’s Landing.
Littlefinger offers to help Sansa escape King’s Landing.
Ros advises Shae not to trust Littlefinger.
Davos is rescued by Saan, who does not want any more connections with Baratheon, and returned to Dragonstone, where he unsuccessfully tries to kill Melisandre, who blames him for convincing Baratheon not to let her join the battle, and is imprisoned.
In Essos, Targaryen arrives in the city of Astapor to buy an army of brutally-trained slave soldiers, the “Unsullied”. She is saved from an assassination attempt by the warlocks of Qarth by Selmy, the former Kingsguard commander, who pledges his loyalty.
Related Chapters in the Books
There were no on-screen deaths of named characters in Episode 1.