I really enjoyed the episode and have a few thoughts, though many of them have been said in some form or another elsewhere in this discussion.
1) As has been discussed, it was conspicuous that Melisandre left out bringing back Jon, which means this will definitely be something that he says to them. I can see happening a couple ways, either (heavily summarized):
Dany: If you want bend the knee and swear allegiance to me, why shouldn't I feed you to my dragon?
Jon: I've seen worse, and I've been dead before.
or
Dany: Why does the red priestess think you're so important?
Jon: I don't know, but she did bring me back from the dead.
In some way, Jon will share that info, and it will give him much credibility in the room.
I think the Jon and Dany/Tyrion/Varys meeting should be great. Given its the first Jon and Dany meeting, plus a chance to put basically every fan favorite in one room together, I'd imagine it will be a very well-done scene.
2) I also think Littlefinger suspects/assumes Jon's lineage. He had the line from a few seasons back about 'it not being Ned Stark's way to have *******', and while at the time it was meant as a hint to viewers to help setup the believability of the future revelation about Jon, it probably also lets us know that he's long doubted the story of where Jon came from. Jenn96's post a couple pages back is spot on with what I think.
I don't think that this points to any secret evidence in the tombs as some have speculated and I don't think it will be him that shares Jon's lineage - though he might if he thinks he can play that card to his advantage. I think its even possible he could do that very soon, as way to drive a wedge at Sansa while Jon is away. It would provide the showrunners the opportunity to cut from that discussion, straight to Jon and Dany together, and they certainly enjoy those types of transitions.
3) As far as how Littlefinger gets it, lots of talk about Arya doing it, but I think we're forgetting that Briene is also at Winterfell right now. I don't think she's even had a line in the first two episodes, but they've bothered to show her several times. With Winterfell less crowded of characters now, I bet she gets some more screen time giving Sansa counsel, and maybe a confrontation with Littlefinger (not that I think he dies this episode).
4) Euron will probably die a humorous dragon death in episode 6, but I'll be curious to how Cersei takes to him when he returns with real gifts like he's about to. She was pretty dismissive of him in ep1.
5) Please give us some Bronn in ep3.