I was sad to see Littlefinger go. Don't really mind the way he did, but wonder about the timing and I think the show will miss him, or at least the plots that he moved forward early on.
He, as a character, is one of the main driving forces of plot in the show. Think of everything that happened because of him:
1. Jon Arryn dies (leaving void Ned fills)
2. Sends letter implying threat from Lannister
3. Gets Tyrion arrested
4. Points Ned in direction of Stannis being the rightful ruler and Joffrey being illegitimate.
4a. Although I don't think it is ever stated, he must have been involved in King Robert's death as well?
5. Betrays Ned Stark
6. Wins over the Tyrells after Renly's death
7. Plots and succeeds to have Joffrey killed
8. Takes Sansa away from King's Landing
9. Kills Lysa Arryn
10. Marries Sansa to the Boltons In the book he trained Jeyne Poole in one of his brothels
11. Leads the forces of the Arryn to the Battle of the Bastards
And then he kinda stopped doing anything this season. That was disappointing.
I had thought he was part of the Red Wedding plot as well, but looks like that was just Tywin, the Freys and the Boltons in cahoots there.
Regardless, without Littlefinger there isn't really a Game of Thrones. Robert would probably still be alive. Bran wouldn't have seen Jaime and Cersi and would not have fallen. Ned would still be alive in Winterfell. Stannis would still be at Dragonstone. The Lannisters would be probably content to just play second fiddle to the Baratheons. There would still be Daenerys in Essos, but her claim against a united Westeros wouldn't stand as much of a chance. And there would still be the White Walkers, but again, a united Westeros would hopefully be able to take care of them.