Game of Thrones has been bringing back missing or forgotten characters left and right in Season 6, tying up loose ends and pushing forward into new stories. One returned character is Sandor Clegane, also known as the Hound, who was last seen when Arya left him for dead at the end of Season 4. His survival was up in the air, but "The Broken Man" showed that he was alive and mostly well, living in peace amongst followers of the Seven. That peace was ruptured by the arrival of men who slaughtered everyone except for Sandor. With his literal happy place now destroyed, Sandor will have to go somewhere, and his reintroduction would be pointless if he wasn't going to have an effect on the story – we wouldn't be following him otherwise. Is Sandor going to King's Landing?
That would put him right back in the thick of the action, which doesn't seem to be what Sandor wants; he had been hiding out for a reason, after all. He left that violent and empty life behind, and seemed to be seeking atonement for who he had been. Returning to the scene of the crime (so to speak) would be backsliding in a major way. However, King's Landing has greatly changed since Sandor was last there and there could be major reasons for him to go back.
Though he was hanging around a religious group, it's not certain that Sandor is a true convert. Still, he does have an association with the Faith and that could bring him back to King's Landing, which has essentially become the Faith's stronghold. That would allow Sandor to serve the religion to atone for his past while also serving a very important function in the story when it comes to Cersei's upcoming trial.
Fans have long held out hope that Sandor would return to battle his brother Gregor, the Mountain, who has now been zombified into Cersei's strongest bodyguard. Cersei intends to have a trial by combat with the Mountain as her unbeatable champion and one theory has involved Sandor challenging him on behalf of the Faith as their champion. He's probably the only person in Westeros with a shot at beating the Mountain, he's now connected to the Faith, and it would truly bring his journey on the series full circle.
But that might not be all the Hound is up to. It's likely that his first goal will be to seek revenge for his fallen comrades by going after the men who killed them, but after that? Cleganebowl is on.