Olenna Tyrell
Time of death: Episode three, "The Queen's Justice."
Cause of death: Cersei wants to give Olenna a cruel death in King's Landing, but Jaime convinces her otherwise, and he gives Olenna poison. But Olenna goes down memorably. Right after she drinks the poison, she confesses to Jaime that she was the one who poisoned Joffrey, and she wants Cersei to know it.
Tyene Sand
Time of death: Episode three, "The Queen's Justice."
Cause of death: Cersei locks Ellaria up in a dungeon with her daughter, Tyene, who she poisons the same way Ellaria poisoned Myrcella: with a kiss and a poison called "The Long Farewell." So Ellaria has to watch her own daughter die a brutal death, and there's nothing she can do about it.
Nymeria Sand
Time of death: Episode two, "Stormborn."
Cause of death: In Euron's attack, he strangles Nymeria, who is a daughter of Oberyn (and not Arya Stark's direwolf). At the end of the battle, her body is hanging from the ship, so she's also definitely dead.
Obara Sand
Time of death: Episode two, "Stormborn."
Cause of death: In his attack on Yara's fleet, Euron Greyjoy stabs the daughter of Oberyn Martell in the gut with a spear. By the end of the battle, her body is hanging from the ship, so she's definitely dead.