What has Melisandre been up to?
Last time we saw Melisandre, she was leaving Westeros in disgrace after Davos Seaworth spilled the beans to Jon about all those sacrificial pyres -- and the fact that little Princess Shireen was burned at one of them. She told Varys she was sailing to Volantis after she "brought ice and fire together," but said that she'd be back one last time. "I have to die in this strange country, just like you," she tells him. Melisandre seems to know plenty about Varys' fate, just like the other Red Priestess in Meereen knew about the voice from the flames he heard as a boy when his body was used for a sorcerer's spells.
The followers of the Lord of Light seem all-in on Daenerys as the prophesied Azor Ahai, the genderless "prince" that was promised who'll save the world, and Melisandre even thinks that it could be both Dany and Jon Snow. She's likely journeying to Volantis -- or even somewhere like, say, Asshai, if she's only telling Varys half-truths -- to gather some weapons or group of people to help Daenerys and Jon in their war against the Night King. Will a deus ex machina army of Red Priestesses show up in the heat of battle on the backs of dragons (remember: Daenerys' eggs are from the Shadow Lands of Asshai, Melisandre's native land)? Some theorize that she could be searching for Lightbringer, the red sword of the original Azor Ahai, or even the Fiery Hand, the 1,000-strong army of slave soldiers who guard Volantis' Red Temple. One thing's for sure: Though her methods have been suspect, Melisandre has been right about the big picture, i.e. the coming war between good and evil, which will probably take place during the Long Night. As they say, the night is dark, and full of… you know.