Still infiltrating Mance Rayder's camp, Jon Snow is under some pressure from the wildlings for information, and tells them (truthfully) that only three of the Night's Watch castles are guarded, and (untruthfully) that the Night's Watch has 1,000 men stationed at Castle Black. 

Ygritte lures Jon into a cave and they then engage in a sex scene that's actually in the books (surprise!).

"There's been no one else, only you," Jon tells her.

"A maid," she says, somewhat endearingly. "You were a maid."

Harrenhal

Roose Bolton welcomes captives Jaime Lannister and Brienne to the old castle the Targaryen dragons once decimated.

Bolton informs them that the Lannisters turned back Stannis' attack at King's Landing, and puts them up in comparatively comfortable surroundings.

A maester goes to work on Jaime's gross-looking stump of an arm, giving him much-needed, but extremely painful medical care.

Later, Jaime and Brienne take a decidedly non-sexual bath together.

There was quite a bit of Westeros history in this episode, and Jaime tells her the story of how he killed "The Mad King," Aerys Targaryen II (Dany's dad). 

Aerys, who had gone insane (probably through incest) was obsessed with wildfire. 

"He burned anyone who was against him," Jaime says. "Aerys saw traitors everywhere."

During Robert Baratheon's rebellion against Aerys, Tywin Lanniser (Aerys' Hand of the King) turned on the Targaryens and opened King's Landing's gates to the rebels.

Aerys ordered Jaime (a member of the King's Guard) to kill his own dad.

"Burn them all," Aerys told Jaime. "Burn them in their homes. Burn them in their beds."

Instead, Jaime turned on the king he was sworn to protect, stabbing him in the back.

King’s Landing

Much plotting was afoot at King's Landing, per usual.

Cersie asks Littlefinger to find out information about the Tyrells' marriage plans, while the Queen of Thorns and Tyrion negotiate the cost of the royal wedding between Joffrey and Margaery (House Tyrell agrees to pick up half the tab).

Upon learning that the Tyrells plan to marry Loras to Sansa Stark, Tywin informs his children of his plan to marry Tyrion to Sansa and Cersei to Loras.

"Tyrion will do as he’s bid," Tywin tells Cersei. "You’ll marry Sir Loras." 

Robb Stark’s camp

At Robb Stark's camp, the Young Wolf is having to grow up quickly.