Catelyn Stark visits the Godswood at Winterfell in episode 1x01 "Winter Is Coming". Sansa is married to Ramsey in the wood in episode 5x06 "Unbowed, Unbent, Unbroken". Sansa is approached by Littlefinger as she sits sitting by the tree in episode 6x10 "The Winds of Winter".
Ned Stark executes a deserter from the wall in episode 1x01 "Winter Is Coming".
Sansa and Littlefinger look down on Moat Cailin and Sansa figures out that Littlefinger plans to wed her to Ramsey in episode #503 "High Sparrow".
Unknown season 4 location.
The Stark group encounters a dead Direwolf and her pups on their way back from the execution in episode 1x01 "Winter Is Coming".
A Night's Watch patrol is scouting north of the wall and is attacked by White Walkers. Some of the shots from this scene were originally shot for the unaired pilot and then reused in the first episode. in episode 1x01 "Winter Is Coming".
Theon is chased by his torturers after escaping in episode #303 "Walk of Punishment". Filmed on the slopes to the south of the park.
Ned Stark confronts the king and queen about the incident with Joffrey by the river in episode 1x02 "The Kingsroad". Catelyn encounters and captures Tyrion at the inn in episode 1x04 "Cripples, Bastards, and Broken Things". Arya is taken to the inn by the Brotherhood Without Banners in episode 3x02 "Dark Wings, Dark Words". Brienne and Pod stop here to eat in episode 4x07 "Mockingbird".
Castle Black at the base of The Wall, first seen in episode #103 "Lord Snow", was built in an abandoned quarry. Photos of the set constructed can be found here. One of the quarry walls was painted to look like ice, all of the buildings around the courtyard were built (including several interiors) as well as a working elevator. Meera and Bran return from the north and talk to Tollett outside the wall in episode 7x01 "Dragonstone".
Stannis's forces come ashore and attack King's Landing where Tyrion helps defend it in episode 2x09 "Blackwater".
Jon Snow goes to Hardhome with Tormund Giantsbane to convince the wildlings to come south of the wall and help fight the Army of the Dead in episode #508 "Hardhome".
Bran comes outside to talk with Meera who is sitting outside thinking in episode #602 "Home". Meera sees the dead army gathering outside the cave in episode #605 "The Door".
Bran has a vision of the Night's King around the now frozen tree in episode #605 "The Door".
Jon, Sansa, and Davos look over their forces gathered near Winterfell in episode #607 "The Broken Man". Davos finds the pyre where Shireen was burned in episode #609 "Battle of the Bastards".
The Starks arrive at the Red Keep in episode 1x03 "Lord Snow". A number of the Starks' attendants are murdered by the Lannister soldiers while unloading some cargo from which Arya later recovers her sword in episode 1x08 "The Pointy End".
Ned is walking through the keep when a messanger informs him that the small council is meeting episode #105 "The Wolf and the Lion". Later, in episode #107 "You Win or You Die", Varys and Littlefinger inform Ned that the Goldcloaks are under his control.
The King hosts a tournament in celebration of Ned behing made the Hand in episode 1x04 "Cripples, Bastards, and Broken Things".
Brienne leads Jaime Lannister to the shore of a river after breaking him out of Robb's warcamp in episode 2x08 "The Prince of Winterfell".
Jaime meets with Tywin in his tent in episode 1x07 "You Win or You Die". Tyrion and his mercenaries join Tywin's army after escaping the Vale in episode 1x08 "The Pointy End".
Robb introduces his mother to Talisa in episode #206 "The Old Gods and the New". In the next episode Robb stops a group of his bannermen from killing Jaime.
Robb and his bannermen wait to hear back about the conditions for them passing through The Twins in episode 1x09 "Baelor".
Tyrion and Bronn witness a protest speech atop some steps in the streets of King's Landing in episode 2x05 "The Ghost of Harrenhal".
The Goldcloaks kill one of Robert's bastards in the streets in episode 2x01 "The North Remembers".
Cersei walks down the street on her way to the Red Keep in episode #510 "Mother's Mercy".
The Lannisters watch Myrcella depart on the boat to the south in episode 2x06 "The Old Gods and the New". Cersei watches Jaime return with Myrcella's body in episode 6x01 "The Red Woman".
Goldcloaks throw one of Robert's bastards into the water in episode 2x01 "The North Remembers".
The city watch search for the various bastards of Robert Baratheon but are unable to locate Gendry in episode 2x01 "The North Remembers".
Daenerys enters this tower after her dragons are stolen in episode 2x10 "Valar Morghulis".
Jaime convinces The Brave Companions to not rape Brienne, only to have his hand cut off in episode 3x03 "Walk of Punishment".
Source: Winter is Coming — Tumblr
An expedition from Castle Black visits the keep on their way north in episode #201 "The North Remembers". They return here in episode #303 "Walk of Punishment" after being defeated by the White Walkers in the north.
Robb visits his prisoner, Jaime Lannister, in his war camp in episode 2x01 "The North Remembers".
Jon Snow and Ramsey Bolton's armies face off in front of Winterfell in episode #609 "Battle of the Bastards".
A new set was constructed for season two's Winterfell scenes on the grounds of this estate. From episode 2x03 "What Is Dead May Never Die". From episode 5x03 "High Sparrow". Bran watches his father when he was young in episode 6x02 "Home". Bran sees the origin of Hodor in episode 6x05 "The Door". The giant forces his way into the castle and Jon's forces defeat the Boltons in episode 6x09 "Battle of the Bastards". Sansa joins Jon on the battlements while he is watching Melisandre depart in episode 6x10 "The Winds of Winter". Sansa and Jon get into an argument over how to rule and Jon gets a message from Cersei in episode 7x01 "Dragonstone".
The group traveling north stops for a rest where Arya interacts with the three caged men for the first time in episode #202 "The Night Lands'.
Arya arrives outside the Twins only to find everyone being executed in episode #309 "The Rains of Castamere".
Ser Davos and his son convince Salladhor Saan to contribute his ships to the invasion of King's Landing in episode #202 "The Night Lands". Late, in episode #303 "Walk of Punishment", Stannis tries to convince Melisandre, who is planning on leaving, to stay and give him a child.
Theon, Yara, and her supporters run to where the boats they have waiting in episode #605 "The Door".
Renly and Stannis meet to discuss a resolution to the succession issue in episode 2x04 "Garden of Bones".
Theon rides to his father's castle and gets all creepy with the girl he realize is his sister in episode 2x02 "The Night Lands".
Theon Greyjoy arrives at Pyke and tries to find a way to the castle in episode 2x02 "The Night Lands".
Melisandre burns several people as a tribute to the Lord of Light in episode #402 "The Lion and the Rose".
Tyrion talks with Lancel Lannister while Bronn waits nearby in episode 2x05 "The Ghost of Harrenhal".
Cersei enters the Red Keep after her Walk of Atonement and is welcomed back by Qyburn in episode #510 "Mother's Mercy".
On their return from watching Myrcella depart, the Lannister procession is attacked by an angry mob and Sansa barely escapes being raped in episode #206 "The Old Gods and the New"
Jamie and Brienne arrive in King's Landing after their ordeals on the road in episode #310 "Mhysa".
Cersei talks to Tommen who is asking her about going back to Casterly Rock in episode #503 "High Sparrow".
Stannis visits Davos in the dungeons underneath Dragonstone in episode #308 "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".
Cersei goes to talk with the High Sparrow in episode #507 "The Gift". The High Sparrow talks to Margaery in episode #601 "The Red Woman". King Tommen comes to plead for his mother in episode #603 "Oathbreaker". The High Sparrow talks with Margaery in episode #604 "Book of the Stranger". Margaery and Tommen reconnect in episode #606 "Blood of My Blood".
Robb executes Rickard Karstark in the garden in episode #305 "Kissed By Fire".
In episode #301 "Valar Dohaeris", Pod finds Bronn with one of the whores. Later, in episode #303 "Walk of Punishment", Tyrion meets with Littlefinger to retrieve his account books and then gives Pod a gift of time with several hookers.
Daenerys and Ser Jorah talk to Kraznys mo Nakloz about purchasing some Unsullied as an army in episode 3x01 "Valar Dohaeris".
Daenerys, Ser Jorah, and Barristan Selmy walk past they slaves strung up to die and Daenerys attempts to give one of them her water in episode 3x03 "Walk of Punishment".
Daenerys, Ser Jorah, and Barristan Selmy meet with the Good Masters and she agrees to sell one of her dragons for all of the Unsullied in episode #303 "Walk of Punishment".
Sansa is invited to take tea with Margaery and Olenna Tyrell in episode #302 "Dark Wings, Dark Words". Later, in episode #204 "And Now His Watch Is Ended", Olenna and Varys talk about Sansa, followed by Sansa and Margaery talking about Sansa's marriage.
Littlefinger escorts Sansa to the gates of the Vale in episode #405 "First of His Name". Later, Arya and the Hound arrive at the gate only to learn that Lysa Arryn died the day before in episode #408 "The Mountain and the Viper".
The Wildlings camp in a fissure on the south side of The Wall in episode #401 "Two Swords".
Slaves and Masters watch Daenerys and her army arrive at the walls in episode #403 "Breaker of Chains". Daenerys crucifies the Masters here in episode #404 "Oathkeeper". Barristan Selmy receives a message about Jorah Mormont in episode #408 "The Mountain and the Viper".
Daenerys locks two of her dragons in the dungeon underneath Meereen in episode #410 "The Children". Daenerys returns to visit her dragons here in episode #501 "The Wars to Come". Dany takes the leaders of the old families down here to scare them in episode #504 "Kill the Boy".
Grey Worm leads some Unsullied into Meereen through the sewers and begins a slave uprising in episode #404 "Oathkeeper".
Source: Splitski Portal
The Sons of the Harpy attack people in a back alley in order to draw the Unsullied into a trap in episode #504 "The Sons of the Harpy".
A group of Unsullied hear a disturbance and run towards it and later Barristan Selmy does the same in episode #504 "The Sons of the Harpy".
A group of Unsullied rush through a small square on their way to the disturbance in episode #504 "The Sons of the Harpy".
A group of Unsullied are ambushed by the Sons of the Harpy before Barristan Selmy comes to the rescue in episode #504 "The Sons of the Harpy".
Cersei visits The Mountain while he is killing prisoners to ask him to fight at Tyrion's trial in episode #407 "Mockingbird". Loras is practicing swordplay when the Faith Militant takes him captive in episode #504 "The Sons of the Harpy".
Cersei walks up steps to the Great Sept passing many mourners in episode #501 "The Wars to Come". Cersei and Margaery arrive for Margaery's wedding in episode #503 "High Sparrow". Tommen attempts to see the High Sparrow in episode #504 "The Sons of the Harpy". Cersei begins her Walk of Atonement here in episode #510 "Mother's Mercy".
Arya is rowed into Braavos by the ship captain in episode #502 "The House of Black and White". Arya sells oysters and spies on the corrupt insurance man in episode #508 "Hardhome".
Arya catches a pigeon for dinner and then is accosted by a group of boys before they are scared off by the strange man in episode #502 "The House of Black and White". Arya sells oysters here in episode #508 "Hardhome".
Ellaria Sand tries to convince Prince Martell to take revenge against the Lannisters in episode #502 "The House of Black and White". Jaime attempts to rescue Myrcella from the attack by the Sand Snakes in episode #506 "Unbowed, Unbent, Unbroken".
Jaime and Bronn arrive in Dorne and end up killing a wandering patrol in episode #504 "The Sons of the Harpy".
Ellaria rides up the Sand Snakes and convinces them to get revenge for Oberyn in episode #504 "The Sons of the Harpy".
Jaime and Bronn follow a group of travelers heading to the Water Gardens in episode #506 "Unbowed, Unbent, Unbroken".
Bronn and Tyrion are washed up on the beach after barely escaping their journey through Volantis in episode #505 "Kill the Boy".
Tyrion and Bronn share a meal and talk about their families while traveling up the coast in episode #506 "Unbowed, Unbent, Unbroken".
Ellaria sends the Sand Snakes out to attack Myrcella in episode #506 "Unbowed, Unbent, Unbroken".
Jaime talks with Doran Martell about the incident with Myrcella and the Sand Snakes in episode #509 "The Dance of Dragons".
Daenerys tries to get Drogon to fly her back to the city and ends up getting captured by the Dothraki after going to search for food in episode #510 "Mother's Mercy". Jorah and Daario search for signs of Dany in episode #601 "The Red Woman".
Ellaria Sand kills Prince Martell after word of Myrcella's death arrives in episode #601 "The Red Woman". Olenna Tyrell talks with Ellaria and the Sand Snakes about forming an alliance against Cersei in episode #610 "The Winds of Winter".
Tyrion and Varys are discussing the city's problems when a group of people run past in a panic in episode #601 "The Red Woman". They walk through the now bustling square and Varys leaves on a secret mission in episode #608 "No One".
Daenerys is brought before the Khal and reveals her identity in episode #601 "The Red Woman".
The Khalasar rides beneath a rock precariously balanced on a hillside in episode #601 "The Red Woman".
Bran is shown a vision of his father fighting with the Gerold Hightower, the Lord Commander of the Kingsguard, and his companion in episode #603 "Oathbreaker". Bran sees Ned Stark find his dying sister inside the tower and promises to take car of her child in episode #610 "The Winds of Winter".
Jaime is joined by Mace Tyrell and his army and waits for Tyrell to give an impassioned speech in episode #606 "Blood of My Blood". A bell crashes into the ground after the explosion of the Great Sept in episode #610 "The Winds of Winter".
Daenerys and Daario are riding at the front of Khalasar when she rides off to find Drogon in episode #606 "Blood of My Blood".
Jaime and the Tyrell army assemble to stop Margaery from undergoing the Walk of Atonement in episode #606 "Blood of My Blood". Lancel Lannister spots a suspicious young boy and pursues him in episode #610 "The Winds of Winter".
Arya approaches a ship's captain and pays him to take her to the Seven Kingdoms and later she stumbles through the market after being stabbed in episode #607 "The Broken Man". Arya comes out of a baths and walks through the market before the Waif catches up with her in episode #608 "No One".