The room they enter is extremely dark. From the sound of the echoes, the floor and walls are stone. The mysterious savior lights a torch, and we see... the wooden X Theon was tied to. And there are guards. The not-really-a-savior tells them, "I brought him back here. He killed the others!" That would be the guards who the fake-savior killed. Remember that guy who said, "You bastard"? Theon's dragged to the X. The last words in the scene are the mysterious non-savior saying, "Put him back where he belongs."
Sorry, Theon. At least you got out in the air for a while.
Jaime. Brienne. A bunch of other unnamed people, including one who looks a lot like Jon Snow but isn't. Jaime is looking beaten down (I mean, aside from the part where we saw him literally get beaten down), and Brienne tells him to eat. He says he's busy dying. She encourages him to stay alive and take revenge. She's not impressed with his current state of mind: "One misfortune and you're giving up." He whines that he misses his sword hand. She utters the worst insult in Brienne's vocabulary: "You sound like a bloody woman!" He eats some bread. Well, I assume it's bread. It would be nice to think so, wouldn't it? She says Tarth is called "The Sapphire Isle" because of the blue of its water, not because of any surplus of sapphires. So why, she asks, did Jaime claim it was slopping over with sapphires, thus saving her from being raped? He doesn't answer. So we can assume that he's in love with her, right? He's probably in love with her.
Tywin Lannister writes something while Cersei waits for him to finish. It's nice to see that Tyrion's not the only child he treats this way, right? She eventually makes him pay attention to her. She's here because she wants to make sure they're doing everything they can to get Jaime back. Tywin points out that when Tyrion was taken, he started a war to get him back. And Jaime's his actual heir, plus he seems to like him a lot better. So what is he doing? "Whatever I can." He doesn't seem stressed out by the situation. Then he looks up: "You're still here. Why?" She feels left out by the times he's given fatherly advice to his sons, because she's the one who deserves his trust. She asks if he's considered that she might be the one that could contribute the most to his legacy.
At this point, I would like to break in with a theory I have. In my opinion, Tywin's kind of a tragic figure. Look at the story from his point of view. He's obviously super-competent and also ruthless enough to get things done. But he's getting old, so he has to allow the next generation to take things over. And all of his children are also extremely competent, but each of them is also flawed enough that they're not going to be adequet. Jaime is very handsome and a great swordsman. Sounds great! But he can't keep his hand(s) off his sister and he joined the Kingsguard instead of inheriting Casterly Rock. Then he killed a king, and everyone's sneering at him. Cersei is intelligent and at least as ruthless as her father. But she's always sleeping with Jaime (or Lancel or whatever Lannister cousin is closest) and she hasn't done a great job preparing Joffrey for kingship. Her path to success was just "marry Robert Baratheon, give him an heir and then manipulate him and the kid" but she didn't really do any of that. Tyrion is the smartest one of all of them, and I think Tywin could bring himself to overlook his height. But he goes out of his way to be a drunken whoremonger and insult Joffrey. If he'd behaved himself even a little while he was Hand, he'd maybe have been given a statue by now. Tywin is looking at his children and probably starting to despair a little. He's probably pretty impatient with his kids constantly coming to him and demanding attention.