Similar to when Daenerys emerges from Drogo's funeral pyre with her newly hatched dragons unburned in Fire and Blood (2011), her hair remains intact. In the novels, Daenerys' hair has been burned off twice, in the same scene after she emerges from Drogo's pyre, and after Drogon burns it off when he lands in Daznak's pit, a scene adapted in The Dance of Dragons (2015). The makers decided to let her keep her signature hair.
The title of this episode refers to the section of the Seven-Pointed Star, the holy text of the Faith of the Seven, dedicated to the Stranger, the aspect of the Faith that represents death and the unknown (and therefore a deity rarely prayed to). Margaery points out that the High Septon is quoting a verse from the book when he describes his past to her. In the novels, only the Book of the Maiden has been mentioned by name, but presumably, each deity has its own book.
This episode was Emilia Clarke's submission in the Supporting Actress in a Drama Series category in the 2016 Emmy Awards- her third nomination for the show.
The Eyrie returns to the title sequence, last seen at the beginning of Season 5. As with that episode, the events in the Vale of Arryn do not actually take place in the Eyrie but at Runestone, the seat of House Royce, but the production team explained they can only justify the expense of creating so many individually animated map markers and they often use a region's capital as a stand-in for the whole area. Pyke doesn't appear in the opening sequence, despite being a place of action in the episode and being present in the previous episode, where it wasn't featured.
Sansa speaks to Jon about "the day we left Winterfell": they did leave the castle on the same day. Jon took the opportunity to ask to join the Night's Watch, so he rode along with the royal party the short distance to the crossroads then he and his uncle Benjen Stark turned north, while the royal party turned south.