Game Of Thrones Season 6: 26 WTF Moments
3. Margaery Doesn't Get Out
She probably had to die to help the culmination of Tommen's story and Cersei's blossoming into the Mad Queen Of Westeros, but it was still a shock to see Margaery realise that something was dramatically wrong at the Sept and try to escape only to be dismissed by the High Sparrow and killed in the ensuing explosion.
More strangely, it cut dead the implied storyline that Margaery was duplicitous and was planning something herself (hence handing her grandmother the Tyrell rose). It was almost as if the writers decided not to pick further at that thread having established it - much like the other red priestess appearing in Meereen for what amounted to a loaded conversation to little end.
Perhaps it's too much to want a beloved character to be saved though - this is the Great Game, after all, and All Men Must Die.