Spoilers ahead!
I would have to say the highlight was definitely Arya Stark kicking butt and risking it all. It was also a great twist to fake out the death of her mentor. This story has had so much buildup that it was getting boring but the payoff was so satisfying, I don't think anyone can complain. On top of it, it leaves you desperate to know what happens next as Arya is just as desperately confused why she's going blind and screaming what's happening?!
I should say that the desperate to know what happens next was something I felt throughout the episode. Theon coming to his senses and killing off the annoying Ramsey pet was very satisfying. I am curious now that they escaped Winterfell, what happens to them. Boltons are not going to let that go lightly. Now that was probably all the good parts of the episode.
I have to say that I thought I would enjoy watching Cersei's torture punishment as she returns to the castle and I have not been a fan of her by any means but I honestly find the crazy zealots to be so much more annoying. It was immensely satisfying to see her locked up when she thought she had the upperhand but it was another thing to have to watch scene after scene of the nuns goading and attempting to brainwash her. I am actually looking forward to seeing her dish out her vengeance.
Watching the interchange with Jaime and the princess before her poisoning was not only predictable but just so sad. The moment of the parting kiss, you knew she was poisoned in my opinion. And so far in the books, every time there's a realization of ultimate happiness or relief for a character, that's usually when there's a major death a few moments later. That is also what leads me to just skip to the chase and talk about the death of Jon Snow. Yes, I could go on about the Dany meeting Dothraki or Stannis' "death" (I suspect that he might have survived, if only because we didn't see the actual head roll like Ned Stark, but it's a coin flip)... but what everyone is really speculating is about Jon Snow.
There's multiple theories out there of the aftermath after Jon's stabbing... that Jon will survive the wounds, that Jon doesn't survive the wounds but is resurrected via Melisandre, White Walker or as his Dire wolf. So I'll throw one more theory into the pot, that it was all just a vision that Melisandre has or is showing Jon Snow so that he can preempt the traitorous Watch Knights. I haven't read the books but I have been following where the discrepancies may be and now I understand why everyone is so eager for the next book. Apparently Jon's stabbing is exactly where George Martin left his last book off at. I definitely don't think they would kill off Jon, unless they're ready to give up on their viewers because fans will definitely stop watching the show if Jon dies. At most, they might just tune in for the Dany parts or read summaries like this one.