Be aware, spoilers for the final season of Game of Thrones are featured below.
Jaime Lannister has had one of the most dramatic arcs out of all the characters in A Song of Ice and Fire. The character we see in Game of Thrones season 8 is absolutely nothing like the man we're introduced to in the first season.
Jaime starts out as a selfish swordsman who will do anything for his sister, Cersei. He pushes a young Bran out of a window, ambushes and wounds Ned Stark, kills his own family to escape captivity and even slays the king he swore to protect. But over time he comes to deal with his wrongdoings and grow into something more than an arrogant warrior. He learns to love another woman, Brienne, and tries to makeup for his actions by joining the fight against the dead at Winterfell.
After Arya defeats the Night King and ends the undead assault on the realms of men, Jaime sleeps with Brienne. It felt like his arc had finally come to a conclusion.
Unfortunately that wasn't the case as Jaime left to be with Cersei in the final episodes of the show, dying alongside her as the Red Keep collapsed under the weight of Daenerys Targaryen's dragon attack.
"In a different world, Jaime would’ve stayed with Brienne. What he has with Brienne is something different — it’s a very pure, innocent love," Coster-Waldau said in an interview with the Making of Thrones blog. "There is a part of him that wishes he could not be who he is. It’s one of those things we do in Game of Thrones. You have this idea of what you want these characters to do — it’s supposed to end well for these two, they’ve been through so much together — but that’s not how it goes."
Coster-Waldau compared the moment where Brienne found, and then lost, her happiness to the scene in season 5 where Myrcella tells Jaime that she knows he's her father. Jaime is overwhelmed with joy until Myrcella dies in his arms from poison.
"It’s very true to who these characters are," he said. "His staying in Winterfell is unrealistic. Cersei is the most important person in his life, whether he wants her to be or not. The idea that he was going to just let her die alone, is too horrible for him."
In Jaime's final appearance during The Bells episode he travels to King's Landing, kills Euron Greyjoy, and reunites with Cersei. "Bronn asks him, “How do you want to go?” Jaime says: “In the arms of the woman I love.” That is where he dies," Coster-Waldau said. "That scene had so much weight. It was a big deal to have these characters die — it’s such an end."
"The whole world is falling down around them; it’s a poetic thing," he continued. "When we were done filming, it was so emotional — more so than my last scene. My hope for those final moments between Cersei and Jaime, is that even though people want her dead, it still leaves a sour taste in their mouth."
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