The burning of Stannis' daughter Shireen on Game of Thrones Season 5 was one of the most tragic events in the history of the show. Now, Melisandre's participation in that terrible moment has been revealed, and Jon Snow has banished her for her horrible crime. But where is Melisandre going on Game of Thrones?
Melisandre, a Red Priestess of the Lord of Light, was once one of Stannis' most trusted advisors. She was certain that Stannis was the "prince that was promised," a ruler long ago foretold to retake the Iron Throne. Because of that, she supported him in his quest to become the next ruler of the Seven Kingdoms. And by "supported," we mean "did all kinds of terrible things in the name of the Lord of Light."
The team-up between Melisandre and Stannis was pretty much filled with death, chaos, and destruction from the get-go. Back in Season 2, Stannis allowed Melisandre to conjure up an evil demon shadow baby to eliminate Renly, Stannis' younger brother and another contender for the Iron Throne.
As if killing Stannis' brother wasn't bad enough, Melisandre then convinced Stannis that it was a good idea to sacrifice his only daughter Shireen to the Lord of Light, in order to better their chances of winning an upcoming battle. Despite his initial reluctance, Stannis, Father of the Year, allowed the Red Priestess to light the pyre that burned his daughter alive, all in the name of power. Of course, we all know how that ended for Stannis (spoiler alert: Brienne killed him, like a boss).
Davos, another of Stannis' close advisors, was very close to the would-be king's sweet, young daughter Shireen. They spent many an adorable scene together, with the little girl teaching him how to read and Davos carving little toys for the chronically neglected Shireen to play with.
Davos spent almost the entirety of the sixth season of the series ignorant of the little girl's gruesome fate, but once he found the little toy stag that he'd carved for her in the snow shortly before the Battle of the Bastards, he knew she was gone. Poor, sad Davos is all of us.
Being a smart guy, Davos kept this knowledge to himself until after Jon Snow et. al had officially won the battle and rid themselves of Ramsay Bolton for good. But during the Season 6 finale, he finally confronted Melisandre for her horrible action in an emotional and cathartic scene. Naturally, Jon backed Davos up and banished Melisandre from the North. He told her that if she was ever seen there again, he'd hang her as a murderer himself. High five, Jon! He knows what's up.
But where can the banished Red Priestess go now? "Not the North" is a pretty general (and quite large) area. Most likely, she'll wind up in Meereen, where we've seen other Red Priestesses before (such as Kinvara, who met briefly with Varys and Tyrion). It's rather unlikely that she'd go to King's Landing – there's enough craziness going down there without Melisandre getting into the middle of it.