Both the books in A Song of Ice and Fire and the show based off them contain tons of subtle hints at the future. Some of the best foreshadowing in the show is easy to miss, but is mind-blowing when noticed.
1. The direwolf and her cubs
The significance of the dead direwolf in season one is well-known—Ned Stark and his sons find a dead stag and direwolf in the wolfswood, with the stag’s antlers embedded in the wolf’s carcass. The animals stand for the sigils of House Stark and Baratheon, and in the books, Catelyn Stark sees this as an forewarning of danger. Also, Theon initially suggests that the stag was brought down by a mountain lion—the lion is the sigil of House Lannister. The Starks also find five direwolf pups beside their mother, and as Jon Snow points out, the pups represent the Stark children.
2. Tywin Lannister’s introduction
Tywin Lannister’s character was introduced in the seventh episode of season one. He’s seen skinning a stag—the sigil of House Baratheon. Later in the same episode, Ned is told of Robert Baratheon’s hunting accident.
3. Olenna Tyrell’s words
In The Lion and the Rose (S04E01), Olenna Tyrell talks to Sansa and fiddles with her necklace. While talking of Robb’s death at the Red Wedding, Lady Tyrell says, “War is war, but killing a man at a wedding—horrid. What sort of monster would do such a thing? As if men need more reasons to fear marriage.” Joffrey dies later in the wedding, and Olenna (and Littlefinger) are later revealed as his poisoners. Incidentally, Varys hints at unfortunate weddings in Blackwater (S02E09), when he tells Tyrion he’d always hated the ringing of bells because they rang for ‘horror’.
4. Littlefinger’s foreshadowing
In a conversation between Robin Arryn and Peter Baelish in S04E08, Baelish says, “People die at their dinner tables, they die in their beds, they die squatting over their chamber pots.” The victims of the Red Wedding and the Purple Weddings have already ‘died at their dinner tables’; and two episodes later, Shae dies in her bed (strangled by Tyrion) and Tywin dies squatting over his chamberpot (shot by Tyrion). Ironically enough, Tyrion’s in his situation because he was wrongly accused of something Littlefinger had a hand in.
5. Tyrion and Jaime’s conversation
In the same episode, Tyrion and Jaime are talking about killing relatives, and Tyrion mentions patricide—shortly before he kills his own father. Also, Tyrion says, “There’s no kind of killing that doesn’t have its own word,”, to which Jaime says, “Cousins.” Jaime killed his cousin Alton Lannister in S02E07.
6. Bran’s story of the Rat Cook
In S03E010, Bran tells the others the story of the Rat Cook, a cook in the Night’s Watch who once killed a king’s son, cooked him into a pie and served the pie to the king. The cook is then turned into a giant white rat, doomed to only eat his own young. Bran then says, “It wasn’t for murder the gods cursed the Rat Cook, or for serving the king’s son in a pie. He killed a guest beneath his roof. That’s something the gods can’t forgive.”
Three seasons later, Arya Stark kills Walder Frey—but first, she serves him a pie baked from his sons. Walder Frey’s crime? He violated the guest right in season three, when he killed Robb and Catelyn Stark during the Red Wedding.
7. Robert’s Curse
Robert’s Curse was probably just coincidence. During Robert Baratheon’s visit to Winterfell in S01E01, the Stark family greets him in the courtyard. The theory goes that Robert ‘cursed’ the Stark family: all the Starks he embraces or touches in one way or another eventually die. He hugs Ned and Catelyn (and we all know what happened to them), he tousles Rickon’s hair (Rickon dies in S06E09), and he shakes Robb’s hand. The ones he doesn’t touch—Sansa, Arya and Bran—are the only ones still alive at this point. Robert ‘curses’ them as well, anyway. He asks Arya what her name is, and Arya’s identity is something much dwelt upon in her character arc. He also tells Bran he’ll be a soldier some day; Jaime Lannister pushes Bran out a window later in the episode and leaves him a cripple (possibly for life) .
8. The Old Lady
This Imgur post points out that the face the Waif uses in S06E07 is the same one Arya lingers at in S05E06.
9. Burning cities to the ground
Cersei has said, on several occasions, that she would ‘burn cities to the ground’ to keep her children safe. In S06E08, Jaime Lannister tells Edmure Tully that mothers like Catelyn and Cersei would do anything to protect their babies: “Start a war. Burn cities to ash. Free their worst enemies. The things we do for love.” Cersei does eventually keep her promise—in S06E10, she orchestrates the destruction of the Sept of Baelor and half of King’s Landing with a wildfire explosion.