The writers of the show are really fond of zero-to-sixty character shifts. Sansa's is one of the more dramatic ones even by their standards (complete with vampy wardrobe change). I like seeing the character portrayed as competent, but they really could have stood to ease into this.
One thing I will say (I noted this before somewhere else), but Sophie Turner is one of the only actors on this show (Conleth Hill, perhaps, being the other, though with Varys' murky motivations it's hard to tell) who plays her character acting as if she possesses all of the acting skills of Sophie Turner, without any actorly cues to convey that she's being dishonest (Natalie Dormer's Margaery, for instance, is so obviously dissembling whenever she's "playing the game" that it's a wonder anyone believes her; and I love Dormer, don't get me wrong; Aiden Gillen is another obvious example).
I was impressed that they made Oberyn's death as gruesome as they did. Also, Indira Varma's reaction to his death was everything I was expecting from Cersei's reaction to the death of Joffrey; that's the only time Lena has really underwhelmed me).