Aside from Jon Snow and the Wildlings climbing The Wall in this past Sunday's episode, it appears that "The Climb" was very much about setting the stage for events later in this season, and presumably next season.
Having read the books, Robb's meeting with the Frey's in an effort to marry off Edmure Tully so that he can re-establish his alliance with the Frey's was a little chilling. Simply because if you've read the books, you know where this plotline will eventually lead.
The head scratcher scene of this episode? It had to be Melisandre coming to the camp of the Brotherhood without Banners. Simply because that seems to be a creation of the show, and not the novels. But it does serve to establish that both Melisandre and Thoros of Myr are both priests of the Red God. Readers of the books will know that Thoros' actions in bringing back Beric Dondarrion will have implications down the line in novels that have already been released. My personal belief is that Melisandre may exercise this very same power in a book that is yet to be released.
Anyhow, I don't recall this Melisandre / Thoros meeting as anything that happened in the books. And I think it had more to do with Gendry than anything else. My belief is that Gendry will stand in the series as the SOLE bastard heir of Robert Baratheon, and the HBO show will totally disregard the other established Baratheon bastard, Edric Storm. IIRC, Stannis wound up holding Edric Storm captive. And I think that for the purposes of the show, Gendry will serve as a composite character of both himself from the novels as well as Edric Storm.
The climb? It was very cool to see The Wall like this, and not as part of the scenery of Castle Black. And as Jon, Ygritte, Tormund and the other Wildlings made the climb, I was very mindful of some words from the book: "The Wall defends itself". When that ice face came down, those words had a whole new sense of gravity.
The maneuvering of Tywin Lannister and the Queen of Thorns to marry off their heirs for political gain made for a great scene. And where a lot of people may have previously written off Sansa Stark as an inconsequential character, she now has some serious things happening to her. Because Tywin is regarding her as the heir to Winterfell, and the key to ruling the North.
But the scene that had me wondering where it would go? Of all things, it was Samwell Tarly and Gilly in the wild, with Gilly's son. When Sam took out the obsidian dagger, I was really wondering if we would see the possible origin of his nickname. But I think that may come later as they get closer to The Wall.