Davos has been locked in a cell by the red woman but at least he is warm and his jailers seem pleasant enough, and the food is decent. Sanitation could be improved but, hell, for a jail, 3 out of 5 stars.
The red woman comes to visit and voices a theory similar to thoughts I have had before: all this war is really a war between gods. Red woman says there are only two gods, good and evil, and hers is the good one. I'm not so sure about that; neither is Davos. Also she thinks Stannis is Azor Ahai ("who will be born again out of smoke and salt to wake dragons out of stone") but she obviously hasn't met Dany.
Lord Alester Florent is Davos' new cellmate. He's in for writing a letter of surrender on Stannis' behalf. He was caught after sending the letter via Salladhor Saan post, and *still* Davos thinks Saan is loyal and that the red woman gets her knowledge from supernatural powers.