When Game of Thrones first premiered on HBO, it did a very good job of staying true to the source material of the novels written by George R.R. Martin. As the seasons went on, however, the two properties began to diverge in events, and inevitably, some characters were left out of the show. George R.R. Martin has always been a fan of the series but did admit recently that if he could change the show in any one way, he would include Lady Stoneheart, a character that never made the transition to the screen. According to Martin...
In the book, characters can be resurrected. After Catelyn is resurrected as Lady Stoneheart, she becomes a vengeful, heartless killer. In the sixth book, I still continue to write her. She is an important character in the set of books. [Keeping her character] is the change I most wish I could make in the [show].
George R.R. Martin has mentioned before he wished Lady Stoneheart had been included in Game of Thrones, but the fact that he's still writing a storyline around her in the sixth book for the A Song of Ice and Fire series is new. Of course, that much could've been assumed as Lady Stoneheart (who is the post-Red Wedding resurrected and grotesque looking Catelyn Stark) had two characters important in the show in a pretty precarious position at the end of the last book. Martin's statement made it sound as though he has grand plans for Stoneheart, and that those plans will never be seen in the final season of Game of Thrones.
Quite frankly, it's far too late to incorporate Lady Stoneheart in Game of Thrones at this stage. Catelyn Stark's unholy form was first brought to life by Beric Dondarrion, who sacrificed his unnatural resurrection ability to bring her back from the dead. In the show, Dondarrion was last seen up north at The Wall, which crumbled after being struck by the blue flames of the resurrected Viserion. With Dondarrion there, and Catelyn Stark's body probably floating in a river since Season 3, it doesn't appear likely the show is saving her reveal for the show's final episodes.
George R.R. Martin will probably never get his wish he expressed to Esquire China (via Forbes) to see Lady Stoneheart on Game of Thrones, but the show did give the character the same justice she's sought out in the novels. While Lady Stoneheart and her men kill every Frey, Bolton, and Lannister they can get their hands on in the novels, Arya singlehandedly took out the Frey males on the show in one fell swoop. Perhaps the latter wasn't quite as awesome as a zombie Stark with a bloodlust, but Arya's assassination scene was still pretty damn cool.