Look at that smile. Jaime has left Cersei and King's Landing behind, and he's the happiest he's looked in years. He's also grown himself a rather fetching beard, and donned some more Northern armour that looks a lot like the kind Robb Stark was wearing back in the day. He needs to blend in, since he's turned his back on the Lannister army, and will be a wanted man on either side of the divide. The darkness of the scene makes it hard to work out just where he is, but it presumably isn't Winterfell just yet, but rather a stop off on the way there.
