Not a spoiler but a theory:
Winter is Coming is a reference to the coming of the white walkers getting over the wall and invading the lands. The whole GOT series is building up to this. The white walkers can only be destroyed by dragon magic. In this case it's all set for The Mother Of All Battles between Daenerys's fully-grown dragons and the White Walkers, with the petty tribes of men (those that haven't died yet anyway) setting aside their squabbles, merely watching in awe.
After the battle, the Dragons and WW's are spent, cancelling each other out. The men left standing begin a new age, eventually becoming part of our own real Earth history (BSG-style).