Arya killing Walder Frey was good, but I'd have to say for sheer nastiness, it would have to be Cersei handing over Septa Unella to the tender mercies of the Revenant Mountain and saying 'Shame! Shame!' as she locked the door.
I think Arya's bit, though nuking the Sept was pretty ****ing spectacular. Sad for Marge and the bum bandit, of course. And I did rewind Olenna's scene in Dorne a couple of times. Dianna Rigg