Stannis visits Davos in the dungeons underneath Dragonstone in episode 3x08 “Second Sons”.
Sansa lights candles in honor of the death and then she has a conversation with Littlefinger in episode 5x04 “Sons of the Harpy”. Jon is down in the crypt with his father's statue when Petyr Baelish comes down to be a creep in episode 7x02 “Stormborn”. Sansa finds Arya in front of their father's tomb and they are finally reunited in episode 7x04 “The Spoils of War”.
Appears in 3 additional episodes.
Sam finds Jon in the crypt and reveals the truth of his parentage.
Daenerys finds Jon looking at the state of Lyanna Stark and he finally works up the courage to tell her about his parentage.
Sansa, Tyrion, and the other non-combatants take shelter in the crypt to wait out the battle.
Under the Great Sept
Cersei goes to talk with the High Sparrow in episode 5x07 “The Gift”. The High Sparrow talks to Margaery in episode 6x01 “The Red Woman”. King Tommen comes to plead for his mother in episode 6x03 “Oathbreaker”.