I just watched episode 2.
I have theories, and I honestly don't want to be right. I feel this show has gone full Hollywood predictable and well deliver satisfying, predictable deaths and save all our favorites unless it's for a heroic death scene. Things like the Hound living so he can confront the Mountain.
I haven't read any spoilers or other theories yet, and please don't tell me anything - and don't read my theories if you think I might be right and you don't like spoilers.
So my guess is next episode is the fall of Winterfell, about 50% of characters will die, including Bran, but not before he does something awesome with the God Tree.
Specifically, I think all the drinkers by the fire will die with the exception of Tyrion, because he has to tell us what Bran told him in their little talk. Theon, Grey Worm, Jorah, and Beric all die as well. Jamie might live, but either way he'll definitely have a romantic scene with Brienne, probably as she dies.
The surviving characters escape south so that the show can end with the fall of Cersei, and the destruction of King's Landing. I also expect to see the undead dragon wreak plenty of havoc over the next two episodes, specifically, destroying the Iron Islands, the Twins, and the Eyrie.
I expect we'll see the red priestesses make a triumphant surprise appearance in the final battle, and I also expect to see Daario show up to save the day at some point. Jon being an undead Targaryen will play a role in his eventual victory (maybe immune to both death and fire?). The show does not end with a particularly happy ending, but the white walkers do not win either.
Anyway, I hope I'm wrong because I hate how predictable this show has become compared to the earlier seasons based on the books. I want to be surprised and shocked by the final episodes.