The official Making Game of Thrones production blog has a post detailing the ending of season 3 filming late last year in Iceland. The environment they were in sounds rather amazing:
“We are filming by special permission at the power station in Krafla, high on the top of a mountain with steam plumes from a geothermal spa nearby twisting into the sky. Every so often a waft of the sulphurous waters blows by. It’s not really a welcome visit.”
As to what they were filming? Despite it being at the very end of the shoot, it’s an opening scene from the first episode, directed by Dan Minahan. Some spoilerish details follow:
“Finally, it’s time to film the big scene. Anything involving fire is always going to be one of the most dangerous things to shoot, and when it’s fire and a person everyone is on high alert. The stunt and safety teams are close at hand, and all non-essential crew are moved back to base. When the flame drops, there is only a short window of maybe 20 seconds to get the shot, and once the stunt man is lit, that’s all the time you have, whether you get it or not. Let me just say this: We got it.”
Someone lit on fire at the very opening of a scene featuring the Night’s Watch? I’m guessing it’s one of the wights we saw at the end of Valar Morghulis.