Davos and Melisandre.
Game of Thrones serves us a number of brutal deaths over the course of its seven seasons and counting, but the one that carries most significance — at least for Ser Davos Seaworth — is the fate of Melisandre the Red Woman.
The two have known each other since the second season when King Stannis Baratheon, to whom Davos is a loyal military aide, reverts to the R'hllor faith and pledges his loyalty to the Lord of Light while doing some immoral acts ever done by a human.
Melisandre was first seen on Game of Thrones in season 2, episode 1. SOURCE: Alpha Coders
Red Priestess has been basically introduced to us as an advisor to the Baratheon camp. Her first major work as both counsel and prophet is to burn the figurines of the Seven outside Dragonstone. She believes the move will lead to Stannis drawing a blazing sword (known as Lightbringer) from one of the statues.
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The red witch further considers the work is a sign that Stannis has been chosen by the Lord of Light as the Prince Who Was Promised or the savior of the world when it faces the Long Night — and more importantly, the act will show he's worthy of being the ruler of Westeros. At first, Davos is unconvinced but does not raise his skepticism as he has hardly any concerns for religious matters and black magic.
But when Stannis reveals that Melisandre may be pregnant and commands Davos to accompany her to a safe place, Davos sees the Red Woman giving birth to a dark shadow that eventually kills Renly Baratheon, Stannis's younger brother and one of the many contenders who hold a claim to the Iron Throne.
Watch; the witch gives birth to a being.
In witnessing this dastardly deed, Davos starts to retaliate the Red Woman’s influence on Stannis. Baratheon and Seaworth reach an agreement to distance themselves from the Red Priestess for a while, and Stannis names Davos commander of his fleet for the assault on Blackwater Bay, a trial run for an attack on King's Landing. The invasion proves disastrous, and Stannis loses most of his fleet.
As the series march towards season five, Stannis suffers another setback at the hands of Ramsay Bolton, who destroys his camp's supplies and several men in a surprise attack.
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During this time, the relationship between Davos and his commander grows brittle, and the Red Woman again gets over power over Stannis’ mind. With their forces lessened, Stannis asks Davos to head to Castle Black and request aid from the Night's Watch.
Davos goes reluctant at first because of his distrust towards Melisandre but later concurs the order much to his loyalty. In his absence, the red witch proposes sacrificing Stannis's daughter Shireen to the Lord of Light for luck in battle.
She ultimately convinces Stannis to do the iniquitous — set his daughter on fire, with whom Davos shares a budding relationship, at the stake.
Watch the most Brutal Death in Game of Thrones.
It's not until the end of the sixth season that Davos finds out about how Shireen died when he finds one of her tiny wooden sculptures among the rubble of their old camp.
By that time, Stannis has been defeated by Ramsay's army and executed by Brienne of Tarth for his hand in Renly Baratheon's death. Davos confronts Melisandre at Castle Black and asks Lord Commander Jon Snow to execute her as a murderer. In the meantime, it is also Melisandre who has brought Jon back from death. In the debt of that event, Jon decides to simply banish the witch from the North. However, before she leaves, Davos threatens her he will kill her if he ever sees her again.
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Amidst the beginning of Winterfell's battle, the Red Priestess returns and once again uses her magic to ablaze the Dothrakis' Arakhs. Upon seeing this, Davos is unsettled. Davos doesn’t get on to his promise right away, but thanks to that, it avails Melisandre to lights the trenches to buy the warriors of Winterfell a few precious moments to fall back. She later gives Arya the push she needs to destroy the Night King.
After the war has ended, Melisandre willingly takes her own life which leaves a bittersweet sentiment on Davos, who realizes she's in some ways redeemed herself.