Just a personal theory. Dont everyone panic. I havent read the books, and i dont scour the internet for theories. This is just what came out of my tiny little brain. Its almost assuredly all wrong. But its fun to speculate....
Maybe they are saving up to kill off a MAJOR character. Now that Jon Snow's lineage is all but confirmed, as a legitimate direct male descendant of the last Targaryan king, he actually has a stronger claim to the throne than Danyeras. In my eyes, that kind of makes Dany expendable, in a telling the story of who ended up sitting on the Iron Throne kind of way. I mean after all she has been through, would she just stand aside and let Jon take the throne? I dont think so. Power is already starting to affect her (see Randall and Dickon Tarley), maybe even to corrupt her.
Season finale: The group on the other side of the wall captures a white walker, and the bring it to Kings Landing to prove to Cercei that the threat is real. Cercei being batshiat crazy doesnt care and sets up an ambush, where Dany gets killed. The Hound covers the rest of the parties escape by battling the Mountain, but it leaves the rebellion is utter chaos. Two armies who followed Dany across the Narrow Sea suddenly leaderless, 3 dragons now with no mother, and an entire rebellion with no one with an actual claim to the throne*.
Cercei of course would think she had won and would go freeking crazyballs with the revenge killings and settling of scores. The Iron Bank would throw in with her, because you know.....winning. She hires all the mercenaries and starts to push back the Dothraki and the Unsullied. The Greyjoy fleet cuts off their retreat back across the Narrow Sea. Things are looking pretty bad for the rebellion. And then the white walker hoard breaches the wall....
And then we sit around for 18 months waiting for the final season.
(*until Sam figures it out next season)
