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: