1. Shireen Baratheon

Daughter of Stannis Baratheon. She had greyscale as a baby and Stannis found a cure for her. She was smart and well-read, and taught Davos Seaworth how to read.

Time of death: Season 5, episode 9, "The Dance of Dragons"

Cause of death: Burned alive by Melissandre as a sacrifice to the Lord of Light, on Stannis' order.

Sadness ranking: 1,000. This scene was too hard to watch, and the sacrifice ultimately led nowhere, since Stannis didn't defeat Ramsay's army.