Or... She demands he bend the knee, he refuses, she burns him with dragon fire. He and his beautiful locks of hair rise from the fire because he is Targaryan and he is a white walker for the lord of light (or whatever they call the fire god) and just go from there. Exciting and boring all at the same time.

*Golf clap*

Rock and Rule, 1983

They reference his death during the conversation between Roose and Ramsey Bolton. He is dead, Roose wanted to know who landed the killing blow so that he could pay them. Stannis is dead.