In a cliffhanger, Lady Stoneheart is about to execute Podrick when Brienne yells one word, but that word wasn’t revealed (and still hasn’t been, maybe one day George R. R. Martin will finish the next book!).
This is where her story currently is in the books as she doesn’t appear in the fifth book, A Dance With Dragons.
There is one other major change from the books to the show involving Lady Stoneheart.
At the very end of the fourth book, A Feast For Crows, she encounters Brienne Of Tarth, and Podrick and mistakenly thinks that Brienne has betrayed her because Brienne is carrying the sword Oathkeeper that Jaime Lannister had given her.