This episode features the most locations and parallel storylines, with eight: in the Narrow Sea, beyond the Wall, Vaes Dothrak, Meereen, King's Landing, Braavos, Winterfell, and the Wall.
Young Ned Stark (Robert Aramayo) tells Arthur Dayne that he "looked for [him] at the Trident". The Battle of the Trident was the decisive victory in Robert Baratheon's rebellion against the Mad King, where Robert defeated crown prince Rhaegar Targaryen. Kingsguard members Jonothor Darry and Lewyn Martell (Oberyn's uncle) were also killed, while Barristan Selmy was injured but spared. Since many houses had sided with the Targaryens only because of their loyalty towards prince Rhaegar, his death quickly turned the tide in the conflict. The Mad King was defeated shortly thereafter, leaving the Iron Throne open for Robert to claim (or usurp, as many felt).
Kingsguard member Arthur Dayne was distantly related to Prince Rhaegar Targaryen, as Rhaegar's great-grandmother was a Dayne, which may explain his fierce loyalty for Rhaegar, even against overwhelming odds and after the prince had already died.
In the books, Gilly left her son at Castle Black. The baby she carries is Mance Rayder's son, as Jon forced her to switch the babies, fearing that Melisandre will sacrifice Mance's son for his king's blood. Gilly never tells Sam that he is her baby's father, and she hasn't named her baby yet, as wildlings tend to wait with that until after they have reached the age of two.
There is no secrecy on the show that the new Kingsguard member is the resurrected Gregor "the Mountain" Clegane. In the books, only a select few (Jaime, Cersei, Pycelle and the Small Council) are made aware that Qyburn reanimated him. Several characters, including Cersei's uncle Kevan, suspect that "Robert Strong" (as he is named) is actually Clegane returned to life through dark arts, since there are few eight feet tall men in the Seven Kingdoms. They don't know for sure, since Clegane's skull was supposedly sent to Dorne to appease the Martells, so if this is true, there is no head underneath the helmet.