Following the massive and bloody Battle of Winterfell, it would make sense for the next episode of Game of Thrones to be lighter on action and heavier on expositional chess-piece moving. For a good portion of its hour-plus runtime, that's what "The Last of the Starks" primarily was, but the urgency demanded by Season 8's shortened length means that even the transitional episodes are packed with important revelations and powerful surprises. And Missandei's brutal beheading at the hands of The Mountain was easily the most shocking twist of the night.
Having defeated the Night King, you'd think Daenerys might have wanted to take a little time to recuperate, lick her wounds, and enjoy having bested the biggest existential threat to her kingdom. Her armies deserved a victory lap -- or at least a long nap -- but instead they settled for a night of drinking. Despite Sansa's reasonable requests for patience, Daenerys wanted to continue her campaign to King's Landing, where Queen Cersei, her horny pirate boyfriend, and the Golden Company awaited their arrival.
Things did not go smoothly: Armed with some powerful ground-to-air spears, Euron Greyjoy made short work of a dragon and destroyed a few ships. Those mighty arrows sent men scrambling into the sea, including Tyrion, and they mostly made it safely to shore. Of course, there was one notable exception: Missandei wasn't on the beach with Grey Worm and was instead captured by Cersei. How exactly did she end up getting taken in? That's one of a few details David Benioff and D.B. Weiss's script yada-yada'ed in an efficient, though perhaps frustrating, fashion.
Mostly, her capture was a way to set up the episode's final confrontation outside of King's Landing. With Dany, Tyrion, and Grey Worm looking on, Missandei was publicly executed in a manner that should remind viewers of Ned Stark's death way back in Season 1. Despite Tyrion's best efforts to plead with his sister, literally begging with her at one point by saying "it doesn't mean your baby has to die," Cersei was unmoved.
She did give Missandei a chance to say some last words. She chose one word -- "dracarys," the High Valyrian command Daenerys uses to order dragonfire -- essentially an invitation for Dany to drown King's Landing in a lake of fire next episode. It's exactly the type of dread-soaked, stomach-churning moment of terror the show has become known for over the last eight seasons, and it gave us a bracing final image: Daenerys looking very, very mad.