Even though she played a major role in past episodes of Game of Thrones, Melisandre seemed like an unimportant character in season 7. However, her final conversation before disappearing across the Narrow Sea might unlock a major plot twist in the looming war against the undead army.
In her small part in season 7, Melisandre was responsible for making sure that Daenerys Targaryen reached out to Jon Snow for a meeting. Once the King of the North arrived at Dragonstone, Melisandre intentionally kept her distance from him and Ser Davos and was last seen brooding over a massive cliff.
Her final conversation was with Lord Varys. During her exchange with the Spider, she revealed two major details: she is leaving for Volantis with plans on returning to Westeros, and she has foreseen her own death.
As to why she would want to go to Volantis and then return to Westeros, one theory actually lies in a blink-and-you'll-miss-it scene from season 6. Keep scrolling to learn more.
Volantis is one of the Free Cities of Essos, the continent across the Narrow Sea. A major detail regarding the city is that it lies on a massive supply of dragonglass.
Dragonglass, also known as obsidian, is invaluable to Jon Snow and Dany's armies in the Great War. The volcanic glass, along with Valyrian steel, is able to kill the White Walkers and their undead soldiers.
Fans of the show will remember that Jon's primary purpose for agreeing to go to Dragonstone to meet with Dany is because he hoped to mine dragonglass from the city.
If he had the capabilities, time, and methods of transportation, it's not crazy to think that Jon might have considered going to Volantis first to craft or purchase weapons made of dragonglass.
For Melisandre, she is likely headed for the Red Temple of Volantis. It the single largest temple of R'hllor in the world of GOT and is occupied by hundreds of priests, priestesses, and attendants.
Most notably, Volantis has an army of one thousand fierce soldiers called the Fiery Hand. They are described as wearing dark red armor and orange robes while carrying shields and spears made of dragonglass formed in the shape of flames.
It's a good possibility that soldiers of the Fiery Hand can light their weapons on fire much like Thoros of Myr and Beric Dondarrion did during episode 6 of season 7, "The Wall."
The Fiery Hand is controlled by the High Priestess of the Temple of Volantis, who has actually already made an appearance on the show.
In season 6, Tyrion Lannister invited the current High Priestess, Kinvara, to Meereen to discuss the tactics of spreading pro-Daenerys information disguised as religion. He soon learned that Kinvara was already in support of Dany's claim to the Iron Throne.
After leaving Dragonstone, Melisandre could be planning to meet with Kinvara to give her an update on the Great War and possibly convince her to send her forces to Jon and Dany's aid.
When season 7 concluded, the White Walkers destroyed The Wall and were last seen marching for Westeros. With the Night King riding atop Dany's fallen dragon, Viserion, the army of the dead present a formidable threat to the entire human race and Jon and Dany can use all the help they can get in the war.
Given that Queen Cersei Lannister revealed that she doesn't plan on sending her forces to help Jon and Dany, the aunt and nephew alliance are in dire need of reinforcements. What army could be more useful in taking down White Walkers and wights than the Fiery Hand with their dragonglass weapons?
So, while Melisandre has made some reprehensible decisions in past storylines, she could prove herself to be a heroine if she manages to save the day in getting Kinvara and the Fiery Hand joining the Great War.
It's possible that Melisandre is also killed after bringing the Fiery Hand to Westeros to fight the undead army.
At this point, this is merely a theory. Season 8 will hopefully offer answers to the speculation surrounding Melisandre's character.