Game of Thrones season 6 begins with "The Red Woman". The main event is the imprisonment of Daenerys by the Dothraki. She's a foreign woman that happened to be married with a Khal and that changes her position under the eye of the Dothraki law.
In King's Landing, Jaime arrives with his daughter's body and must deal with Cersei and the new political situation in the city. Margaery remains in prison and is pushed by the High Sparrow to confess all her sins along with her brother Loras.
Meanwhile, in the North, Sansa and Theon successfully escape from Ramsay by running through the woods. When they seem finally trapped, Brienne shows up to offer her help and kill everyone attempting to hurt Sansa.
Some interesting facts: the "Red Woman" is Melisandre and this episode tells the complete truth about the woman's nature. After taking off her amulet, the beautiful redheaded lady turns into an elderly woman. However, in some previous scenes, Melisandre took a bath without the item.