The world of A song of ice and fire is consistently expensive and thanks to the tireless work of George RR Martin, this book series has been blessed with great characters written amazingly well. Game of Throneswhich is the television adaptation of the novel series, sees the vast majority of these characters make an appearance and play a significant role.
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However, there are some characters that for whatever reason didn't make an appearance in the show at all. Some of these characters are ones that significantly affect the plot of the books and their exclusion from the show completely changes the trajectory of the plot. As fans already know by now, the show and the books are different canons and even though the show has already ended, it's sad that these characters never made it.
Lady Stoneheart
Lady Stoneheart is a character who plays a significant role in the books. Although she technically appears Game of Thrones as Catelyn Stark, her story ended at the Red Wedding when a knife was put to her throat and she died along with her son, the King in the North, Robb Stark.
In the books, she is resurrected with the power of R'hllor, the Red God. Beric Dondarrion gives up his life for hers with a kiss of life and thus Lady Stoneheart is born. As her name indicates, she is a character with a very cold heart and cruel personality. She seeks revenge for what happened to her family and is crucial to the plot going forward, as even George himself admitted.
Victarion Greyjoy
Victarion Greyjoy is one of the most important characters in the books. The Greyjoy plotline was completely destroyed in the show and as such, it's not a huge surprise that Victarion never made it to the show. He is a character who in the books is currently on his way to Mereen. He has the horn to bind the dragons to himself with magic and he intends to propose to Daenerys as well.
Victarion has great ambitions and he is truly a man who will make a significant difference in the story going forward. Unfortunately, he never made it to the show for some bizarre reason.
Young Griff
In the TV program it is made very clear that Rhaegar Targaryen's child was murdered before his mother, Eliawas also murdered. This was considered to have ended the Targaryen line, before Daenerys and Viserys were sent to the Free Cities. In the books, however it is believed that Varys the Spider smuggled Rhaegar's son, Aegon Targaryen to the Sanctuaries.
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Varys is a supporter of the Targaryen restoration and currently supports Young Griffwho is actually Aegon. Tyrion meets Young Griff in the fifth book and it is revealed that this boy has a certain charm about him. He is currently the leader of the Golden Company and plans to invade Westeros very soon. Unfortunately, his plot line was completely deleted from the show.
Jon Connington
Jon Connington has never been in the show because he is connected to Aegon Targaryen. It is believed that Jon Connington was a very close aide to Rhaegar and thus plays a significant role in watching over Aegon. Once Aegon was brought to Essos, it was none other than Jon Connington who watched over him and monitored his growth. The man that young Griff is today is up to him.
Jon Connington also aims to have Aegon marry Daenerys to further solidify his claim to the thronejust as he secured the services of the Golden Company, a group of powerful salesmen. In the show, unfortunately, Jon Connington does not exist at all.
Arianne Martell
Arianne Martell is, in all likelihood, one of the saddest exceptions to the Game of Thrones TV show. The entire Dornish plotline left a bitter taste in the mouths of fans as it was by far the worst part of the show. Dorne has enormous potential and the books' handling of it has been completely different than what the show accomplished.
One of the characters who play a significant role in the Dornish storyline are Arianne Martell, eldest daughter of Doran Martell, the prince of Dorne. In the books, his son Trystane ends up dead after trying to tame Daenerys' dragons. This means big things for the character Arianne as she is now the rightful heir to Dorne. No doubt she will play a significant role in the books going forward. In the show, however, she was never even mentioned.