In a move that's kind of unusual in 2012, this show starts with credits! Right at the beginning! This time out, we go to King's Landing, Dragonstone, Pyke (a new place!), Winterfell, the Wall and Vaes Dothrak. I'm starting to question the presence of Vaes Dothrak in the opening credits, because Daenerys and her crew aren't even in Vaes Dothrak. They're out in the Red Waste somewhere. I guess Vaes Dothrak is the nearest large city, but they've been explicitly shown to be nowhere near it. Actually, the Night's Watch scenes aren't set at the Wall, either. They're either out north or on the road from King's Landing.
You remember the ones who are on the road from King's Landing, right? They're led by Yoren, who's a scruffy-looking badass, and they include Arya Stark (currently disguised as a boy named Arry), Gendry (former armorer's apprentice, and the oldest confirmed bastard of Robert Baratheon that we've seen), and Hot Pie (a fat young boy who's been a jerk to Arya). Well, they're the ones we're starting with. Specifically, we're starting with the sight of Arya, trying to pee in a river without anybody noticing her.
No one notices, because they're all busy setting up a camp. When Arya strolls back up to where everyone else is, she's carrying a handful of wood, which is the universal symbol for "I was totally doing something important all that time you couldn't see me." On her way back, she has to pass the three oldest and scariest recruits, who are being kept in a cage. They're going to be a grand addition to the Night's Watch, I'm sure. They can't be trusted anywhere near the other recruits, but as soon as they reach the Wall, they'll turn into noble defenders of all that's right and good. One of them seems relatively normal, and would like Arya to get him a drink. His name, if the Internet can be trusted, is spelled "Jaqen H'ghar." Another one, who is less polite, demands Arya get him a beer before he skins her. Except he doesn't say "her," of course. Arya decides not to give anyone a drink and carries on with her day. Gendry reminds her that she's not supposed to go anywhere near the cart with the cage on it.
About then, two Goldcloaks from King's Landing ride up to deliver on the cliffhanger from the last episode. As soon as she sees them, Arya ducks behind an embankment and tells Gendry that they're after her. Nice poker face, Arya. You're the worst fugitive ever. Yoren stops the Goldcloaks before they get too close to the recruits and is unimpressed with their royal warrant. The Night's Watch, he says, is beyond the reach of kings and queens. And to emphasize his point, he holds a knife to the groin of the nearer Goldcloak. He explains that he could shave a spider's arse if he wanted to. But since that wouldn't actually be all that useful (unless the Goldcloaks are known for their preference for shaved spiders), he also mentions that he could nick an artery. He takes the Goldcloak's sword for use at the Wall and tells him he can die or go home empty-handed. The other Goldcloak is no help. He's kind of looking off into the distance, pretending he's not with this other guy. Before they leave, the talking Goldcloak announced that they're looking for a boy named "Gendry" who has a bull's head for a helmet. They ride away with some empty threats. Gendry eyes Arya, but everyone else eyes Gendry.