What exactly is west of Westeros?
As was the case with Daenerys' Season 2 vision in the House of the Undying, a previous Arya scene hinted at what the show had in store for her. Back in Season 6, Episode 8 ("No One"), Arya is tasked with assassinating Lady Crane, an actress who plays Cersei Lannister in a play called The Bloody Hand. When Arya finds herself sympathetic to the actress, who's playful and envied by a less-talented member of the troupe, she fails to go through with the murder.
This obviously runs her afoul of The Waif ("No One" is incidentally the episode when the show disposes of The Waif for good), who stabs her in the gut. Lady Crane finds her and helps nurse her with soup and milk of the poppy. Along the way, Lady Crane asks Arya to join the troupe and travel with them to Pentos.
Arya declines, however, and when Lady Crane asks her where she'll go with The Waif (The Waif, ugh!) hunting her down, she replies, "What's west of Westeros?" Lady Crane tells her she doesn't know, to which Arya responds, "Nobody does. That's where all the maps stop."
The edge of the world, as Lady Crane puts it. "I'd like to see that," Arya says with a glint in her eye. With the wars over and her remaining family members safe, she'll have the chance.