So, a lot of setup, which is understandable if unsatisfying. I had hoped they would have resurrected Jon to end the first episode, but it looks like they're going to drag out the inevitable.
I'm confused on the whole Trystane thing as well. He departed on the same boat with Myrcella and Jaime and left all three Sand Snakes on the dock watching until the boat was well in the distance. Yet somehow two of them snuck on the boat to kill him. Did they catch up in a completely different boat without anyone noticing? Did the ship pull into port somewhere along the way and they rode there really fast to get there first and sneak aboard, then managed to hide out for the rest of the journey? That deserved some explanation in order to not look like a continuity error.
Also, Ramsay's hounds are amazing, with their ability to completely disappear the moment their handlers are attacked. I know it can't be a fear of depicting animal death given this show's history, but it was a little jarring that they just suddenly vanished from the scene without a sound or shot of them leaving. It also doesn't seem like they would just run off given their fierce nature, desire to hunt and feed, and combat experience. I think they'd stay and defend the handlers or attack someone to kill and eat them.
I groaned when I saw Daenarys' fleet burning and Tyrion said "She won't be sailing to Westeros anytime soon." Yeah, great, more time in Essos rehashing the same things over and over again. I wasn't expecting her to set sail overnight, but some hint at preparation for movement in a westerly direction before perhaps next season would be nice.
It was strange that they never filmed a scene with Stannis' body last season, like they were keeping their options open in case they wanted to bring him back even though his story was really over. The Bolton soldiers must have found his body, or else Roose would not be so sure of his death by sword. Not showing the killing blow will leave some people speculating that he might still be alive, I think, even though there wouldn't be much point.
Killing off Bashir so unceremoniously in the first episode felt like a waste of a good character. They could have at least made his downfall a bit of a struggle so as to make this Dorne stuff more interesting.
Am I supposed to feel bad that Ramsay lost his torture, rape, and murder BFF? I mean, the actor did a good job with his emotional farewell in the scene, but it was a weird scene to have, since the audience wouldn't feel anything for her and we already know he's going to try and hunt Sansa and Theon down and make them pay just because he's Ramsay and that's just the way Ramsay rolls.
At least Brienne and Pod's fight and joining up with Sansa and Theon (finally) was satisfying, though it seemed a little random as she had no reason to believe Sansa had made it out. Could have used a scene of her tracking the Bolton soldiers and seeing them using the hounds and figuring from there that she must have escaped. You can figure that's what happened, though, but it just seemed a bit out of nowhere.
While this episode was somewhat disappointing (probably because I was so hyped for the show's return) and made some mistakes and odd story choices, I'm still looking forward to seeing what's coming up.