[Warning: Spoilers ahead]
In King's Landing, the Lannisters are all reunited once again -- but it's not exactly a warm and friendly family reunion, despite the fancy new Valyrian steel sword Tywin gives the newly-returned/no-longer-captive Jaime (it's one of the "Two Swords" of the episode's title -- both made from melting down Ned Stark's weapon). Jaime wants to return to his old post in the King's Guard, but his father wants him to go back to the family home in Casterly Rock, his nephew/son King Joffrey doesn't think much of a one-handed man protecting him and his sister/lover, Cersei, rebukes his advances and says he took too long to get back to her.
Tyrion Lannister, meanwhile, attempts a bit of diplomacy with series newcomer Prince Oberyn Martell, who has traveled from Dorne to attend the upcoming wedding of Joffrey to Margaery Tyrell. There's bad blood between the Lannisters and the Martells of Dorne, and that becomes immediately evident when the sexually voracious Oberyn visits a brothel with his paramour, Ellaria Sand -- the two choose a woman and a man for their, um, services -- only to be drawn away to confront two Lannister men in another room and stab one of them in the wrist. Bad blood, indeed.
Tyrion finds Oberyn at the brothel and asks why he's really in King's Landing. Oberyn tells him the last time he was here was for a different wedding -- that of his sister Elia to Rhaegar Targaryen. She loved him and bore him children, but he left her for another woman. That started a war, which ended when Tywin Lannister's army took the city. Elia's children were "butchered," Oberyn explains calmly and deliberately, while rumor is the Mountain raped his sister and "split her in half with his great sword."
"If the Mountain killed my sister, your father gave the order," Oberyn tells Tyrion. "Tell your father I'm here. And tell him the Lannisters aren't the only ones who pay their debts."
Sansa is devastated by the deaths of her brother and mother -- Shae urges her to eat and Tyrion tries to comfort her, but as her unwanted husband and a member of the family that organized their murders, she wants none of it.
Things aren't great between Tyrion and Shae, either (When she asks him why things are tense, he replies, "My nephew the king wants to murder me, my wife hates me because my father murdered her family, and Oberyn Martell wants to murder everyone whose name is Lannister." So, just a few teensy problems!). She accuses him of passing her over for his "child bride" and asks him whether she should stay or go. He hesitates and she walks out of his chamber -- and his problems are about to get much more serious, because Sansa's maid overhears this entire, forbidden exchange and brings the information straight to Cersei.
Brienne of Tarth is also at King's Landing, and reminds Jaime of his promise to protect the Stark children. Arya hasn't been seen and is probably dead, he tells her, and Sansa is safe at King's Landing. Brienne gives him an "are you serious?" look and asks if he really believes that. "Are you sure we're not related? Ever since I've returned, every Lannister I've seen has been a miserable pain in my ass," Jaime retorts. "Maybe you're a Lannister too. You've got the hair for it, not the looks." Elsewhere, Brienne also tells Margaery about the "shadow" that killed Renly Baratheon, and vows to avenge his death.
At Castle Black, Jon Snow is made to answer for his actions from last season -- killing Qhorin Halfhand, joining up with the wildlings and breaking his Night's Watch vows. He could be beheaded for these offenses, but he argues that he killed Qhorin at his insistence to gain the wildlings' trust, and because he lived among them he knows Mance Rayder has amassed an army and is planning an attack. He's told he won't be losing his head for now.
Across the sea, Daenerys Targaryen and her massive army of freed slaves -- a wide shot shows just how large her forces have become -- are preparing to travel to Meereen, the mother of all slave cities. But as they set off, the group encounters a gruesome set of mile markers leading the way, with a corpse hung on every one. Daenerys tells her men not to take them down - she wants to see every single one of their faces. She still has her dragons, too, though they're older now and not as willing to listen to her. Dragons can't be tamed, Ser Jorah warns her, not even by their mother.
And Arya, having narrowly escaped the Red Wedding bloodbath, is still traveling on with her reluctant protector, the Hound, who plans to take her to the Vale and sell her to her mother's sister Lysa. The two begrudging partners banter back and forth (she wants her own horse, he refuses, she tells him he smells), before we see just how hardened the young girl has become by all the tragedy and violence in her life -- when they encounter a group of men (one being the onetime captor who stole her sword, Needle) at an inn and a fight breaks out, she kills three of them like it's nothing, stabbing the last one through the throat slowly and deliberately after making sure he remembered just who she was. When Arya and the Hound leave, she's on her own horse.
With that, things are off to an exceptional, and dramatic, start. And this is only the beginning -- we won't spoil anything here, but we've seen the next two episodes and one of them's a doozy.