At the power summit in King's Landing on Game of Thrones, all of the main characters left alive on the show finally got together (minus Sansa and Arya), plus Euron Greyjoy, who hasn't been seen since the third episode. However, he didn't stick around for long. Where is Euron going in the Game of Thrones Season 7 finale? He decided that maybe the fight in the North isn't definitely worth it.
Euron first showed up in Season 6 when he pushed his brother Balon Greyjoy off of a bridge and killed him, handily letting everyone who watches the show know exactly what kind of person he is. He then went on to steal the Iron Islands from his niece and nephew, Yara and Theon. When he showed up in Season 7, he was weaseling his way onto Team Cersei. He then attacked Yara and Theon's ships (which were on Dany's side), captured Yara and gave Ellaria Sand to Cersei to be tortured and killed. Basically, he's a jerk and he is looking out for himself and himself alone. So it wasn't exactly surprising when the wight was brought out and Euron promptly decided to dip out of this particular meeting.
For whatever reason, this meeting of the minds went surprisingly well. The Hound brought out the pet zombie, which when released jumped out and screeched in Cersei's face. Jon then demonstrated how to kill it with fire and/or dragonglass. After petting its hair for a moment, Euron decided that this was by far the most terrifying thing he had ever seen and right then and there said that he was taking his ships back to the Iron Islands. At least, that's what he claimed.
Euron was not my favorite character this season. He was a fairly one-note villain who's major redeeming quality was his flair for dramatics. But in a season full of insane decisions — like going beyond the wall to capture an ice zombie, or threatening to kill your sister — this was probably the wisest choice anyone made in the season's seven episodes. But it was only later in the episode when Cersei revealed to her brother Jaime that of course she was not about to go join up with Daenerys and Jon to fight in the North. In fact, Euron had actually left for Essos in order to pick up her army of mercenaries. "No one walks away from me," she said, as Jaime did exactly that.
So yes, Euron will show up again, this time with some backup for his Queen.