You know, there was a lot left unsettled in Episode 3, sure and even some predictable events. I don't think it was a letdown in any way. Sure, none of the seriously major players were killed off. A few supporting characters that played larger parts earlier in the series are gone now, but overall, the "big" pieces of the game are still in place. The writers know this, the directors know this and even the fans know this...
And this is exactly when the directors/producers toss a curve ball at us killing someone significant off. It's happened throughout the series. Everyone thought all the way back in Season 1, Ned Stark might just get a pardon and take the black. Nope, gone with the head. This about the events leading up to the Red Wedding. Everyone thought Rob Stark played that well and convinced/compromised very well with Walter Frey. Yeah, we know how that turned out. The betrayal of Jon Snow wasn't even on anyone's radar and whoops, he was gone...only to return later on.
Point being, the fans grumble and get into a false sense of security over the major characters. Or they accept the status quo over events leading up to said curve ball. Then, they get smacked hard in the face when someone comes up and sticks a knife into the belly of a major character.