My thoughts on all this.....apologies for the length. It sort of got away from me.

If you get all the way to the end, you'll get an internet high five from me. If not, well I don't blame you.
Jaime was an addict, Cersei the drug. Addiction can lead people to make horrible choices, in Jaime's case he was willing to kill a kid and did kill his cousin. Some addicts see their problem and fight their way to being clean with a chance at happiness within their reach, only to succumb again to their addiction as it leads them to their death. The non-addicts around them wondering how they could throw away a chance at happiness for a drug or any other addiction. That was Jaime. He didn't get the Hollywood ending on that front.
However him surviving two stab wounds like that long enough to go up however many flights of stairs, search however many rooms, then go back down all those stairs and have more "strength" than her was preposterous and took me out of the show a bit. Initially I figured that Cersei would come across his dead body after she fled from Cleganebowl, seeing one more foundation of her world gone for good.
Cersei? Pride goeth before a fall. There is no Hollywood bad guy end for her. She doesn't get kicked off the top of the Red Keep, or burned / eaten by a dragon as she screams defiantly "I'M the queen!" or whatever tripe we usually see in a blockbuster. No, she literally went from the top of the world to the bottom in an instance. The Red Keep, her safe haven / womb / world literally collapses in on her killing her, the world above neither knowing or caring that she died.
Arya? A "scared girl" again? Not really. Like many characters, they got confident and comfortable being in a certain environment, were skilled in navigating that environment and now find themselves in a place where that environment has been upturned. Arya's skills allowed her to be a badass in the shadows against the unsuspecting. She's in a city that's collapsing around her, where she could be killed by a falling wall or dragon flame, where she's also seeing thousands of innocent people dying. She has methodically killed people "who had it coming", now she's seeing an overabundance of people who didn't "have it coming" die right before her eyes and all her skills are utterly useless on this type of playing field, aside from barely keeping her alive. Stealth and shadows aren't much good when the things that provide stealth and shadows are there one second and gone the next.
Despite that, she'll most likely attempt to kill Dany. I'm not certain she'll succeed, primarily because fans think she will and one of this stories gimmicks is "that thing you think we're going to do? Yeah.....we're gonna do the opposite of that". Everyone thinks Arya's gonna do the deed because she's uber-bad ass, but I don't think she'll succeed. Because too many people expect it and because I don't think they'll giver her the two big kills of the series. I always figured she'd survive and be assassin for House Stark, or that she'd go on to live for years, with the Faceless Men taking her out down the road. But, we'll see.
Jon? He got a wake up call for sure, on several levels. So far he's been in combat with enemies where he and his side have been the underdog fighting against other warriors on a battlefield. Now he see's that this army that he thought of as "noble" and "honorable" can be every bit the vicious wolf in the hen house against defenseless civilians as any one else. Especially Dany. Years ago I thought this would be the tale of how two leaders came together and defeated a great enemy. Now I'm thinking it's all but certain that it's the tale of the end of the Targaryens. The end of the story that began with Aegon the Conqueror 300 years ago. If there's a follow up to that recent Targaryen history book, this is the last story in it. Jon's fate could go several ways, with death or just walking away being the two obvious.
IIRC, Martin once said something about good guys being too noble to live in a brutal world (see Ned Stark) and so we've been conditioned to think Jon's going to die because of his "nobility". And he might. Or in the end, he might learn the lesson that Ned didn't. I tended to think Jon would die, with the wildlings up North mythologizing him and his return to save the world in it's direst hour, maybe the rest of Westeros as well... But with Dany burning King's Landing.....yeah, hatred of the Targaryen name would be at an all time high, and that includes Jon who was part of the invasion.
Dany? Yeah, I was shocked. At first I thought she was heading for the Red Keep, then thought she was burning people in the keep. When they showed that she was still far away and burning Kings Landing...that's when the horror of what she was doing hit. And I'm not surprised. Other's here have perfectly explained the events leading to this moment, so I won't repeat them here. For myself, IIRC, she was once shown a vision of a dragon shadow over Kings Landing, as well as a ruined throne room with what appeared to be snow falling in through gaping holes. Snow? Or ash? Maybe both.
As for the destruction of Kings Landing....yeah, this is her burning the Tarley's in front of the troops writ large. Also, she already had disdain for the civilians as she pointed out that the slaves in Essos rose up and overthrew their masters. Here, the slaves may not wear chains, but they're still the playthings of those of noble blood....and they're not doing anything about it for themselves. They're not rising up and fighting for freedom, they just look down and try not to get killed in the best of times, and march off to be cannon fodder for pointless wars for the nobles. It seems like she's come to the decision that if they're more submissive cowards than a people who will rise up against unjust leaders, especially when given a chance, then she'll give them a reason to be submissive with a lesson that will resound through the ages.
The other aspect of the destruction of Kings Landing, and I don't know if it's something she was thinking about, is that it now ties her followers to her in a way they really can't come back from. Jon vouched for her, put his trust in her, bent the knee to her, was in love with her. All of that information is as every bit devastating to him as his heritage being made public is to her. His reputation is in the shitter, and he's tied to her in this attack no matter how much it repulsed him. He was one of her leaders and the public will not forget that.
Also, while she was in Mereen (the city with the pyramid) I kept thinking that she doesn't really need to go to Westeros. She's queen of a great and ancient city, more than one actually. I remember back then thinking "What if we're seeing the origin story of the "evil" Queen?" Many villains are the heroes in their own story.
Aside from the "do the opposite" thing, the other obvious thing about this story is that it's like the fantasy story if we followed the characters for seven years before the story. Like if we followed the LotR characters for years before the book starts. We know the characters by the time the "story" starts. Who they are, what they want, why they do what they do. In some cases we root for two different groups and when they come together in conflict, we realize we're rooting for both sides to win because we've come to like both characters. Brienne fighting the Hound comes to mind.
We also don't want to believe, because we've been shown the characters backstories, that maybe they're really not who we thought they were, even if the hints were there the whole time. Dany was shown visions of a ruined throne room a long time ago with the implication that it would be her doing the destructing. We've seen how she treats her enemies, and that was in an environment that she was able bend to her will and make a place that she was comfortable with. Remember Arya running through a crumbling city in horror as it crumbled all around her, with the very real possibility of dying right then and there going through her mind? That's what Dany seems to be going through on a mental level as she's in an alien land, has lost her most devoted friends, and is facing betrayal and failure by her advisors and the one man she thought would never betray her.
Taking all of that into consideration, no, I'm not surprised this is where we ended up. She's not a Disney princess, doesn't get the Hollywood ending and was always the big bad of the show. I could easily see all of them as villains in the future tales told by the people of Westeros 'ala the play we saw about Joffery in Essos. Dragon Queen, lecherous dwarf advisor, her most trusted advisors were a disgraced knight, a washed up knight, the architect of much pain and suffering (all for the good of the realm of course), her brutal slave army led by a man called Grayworm, her brutal Dothraki army, her mercenary army, and her dragons. Who was able to seduce the leader of the Dothraki, as well as the mercenary leader, even the great hero of the North.
I'm sure the same could be said about the Starks, and it will really depend on who's left alive to write the history.
As for Tyrion.....Well, he's been largely useless over the last couple of seasons. Hasn't really delivered any wins for Dany, and when he's counseled restraint, it hasn't really seemed to work much for Dany. He found someone he could believe in, but it turns out she may be no different from anyone else before her. Right now he's been able to stave off her fury, sometimes by reminding her that he's fully behind that "better world" vision that sold him on her. But even that won't sway her anymore. If she dies, and it's by his hand, I hope we don't have a scene where, dying, she tell's him "I just wanted a better world" followed by a pause and a sad Tyrion saying "So did I".
I do wonder if she'll pursue her obsession with throne to the bitter end, or if she just writes Westeros off as being unworthy of her rule and returns to Essos where she's (as far as we know) still entrenched in power. That would be the "you think she's going to live and rule, or die by obsession, so we're gonna do the opposite of both of those" coming into play and would be the non-Hollywood ending. The "Fuck it, you can have this shithole, I'm out!" ending.
Sansa? Well just as Arya took out the Night King, I could see Sansa taking out the Dragon Queen. By machinations not by her hand. We don't know what she's been doing since the troops left Winterfell, and I'm sure the destruction of King's Landing will have her working on some kind of back up plan, because of her own interactions with Dany and Stark family history. I have a sinking feeling that Dany may make an example out of Winterfell too, solidly answering Sansa's question of "What about the North?"
Gonna leave it there, and apologies again for the length.