Catelyn has only one bolt in her, so she drags herself under a table. She's close to Walder's table, and she can see that Walder's wife is also hiding under a table. Robb pulls himself toward Talisa's body. Walder has everyone stop the massacring. He announces, "The King in the North arises." Robb kneels next to Talisa and lifts her head.
Catelyn grabs a knife and runs over to Walder's wife. She stands with her knife at Lady Frey's throat and tells Walder to let it end. She says, "He is my son. My first son. Let him go and I swear we will forget this. I swear it by the old gods and the new. We will take no vengeance." Walder is not interested in her oaths, since she already failed to deliver on a promise. She says she'll be a hostage if Robb can go. She begs Robb to walk out. Walder asks why he'd allow that. Catelyn warns that she'll cut his wife's throat. Robb stands up and kind of sways back and forth. Walder considers the threat to his wife's life and shrugs, "I'll find another." This dude is cold.
Robb says, "Mother." Roose walks up behind Robb. He says, "The Lannisters send their regards." And they did! When Jaime left Harrenhal, the last thing he said to Roose was to send the Lannisters' regards to Robb Stark on the occasion of his wedding. Then Roose stabs Robb, and he falls. Catelyn wails. Then she cuts Lady Frey's throat. A soldier walks up behind her and cuts her throat. Blood spurts out of her neck and she falls.
THE END. There is no music over the end credits, and it's pretty creepy.
So it appears that this was a Lannister ambush more than just Walder Frey being angry that his daughter didn't get to marry Robb. We'll certainly learn more about that in future episodes, along with what the implications are of the Starks being basically destroyed. As far as the public is concerned, Bran and Rickon are long dead and Arya is missing. So Sansa is the only known living Stark, which I guess makes her in charge of the smoldering remains of Winterfell. Good news for Tyrion, I guess. And the Casterly Rock guards can continue their off-screen lives, never knowing how close they came to being relevant.