Red Keep Gardens
Sansa is invited to take tea with Margaery and Olenna Tyrell in episode 3x02 "Dark Wings, Dark Words". Olenna and Varys talk about Sansa, followed by Sansa and Margaery talking about Sansa's marriage in episode 3x04 "And Now His Watch Is Ended". Littlefinger talks with Sansa as they watch the ships leave in episode 3x05 "Kissed by Fire".
Appears in 8 additional episodes.
Source: Winter Is Coming