In the books. And maybe the TV show. SPOILERS, maybe.
In both the books and the TV show, Stannis Baratheon is believed to have met his end following the battle with Ramsay Bolton.
In the TV show, he is killed by Brienne of Tarth in the forest, surrounded by the bodies of his defeated army. In the books, on the other hand, his death is described in a letter from Ramsay to Jon, prompting Jon to try to lead the Night's Watch south to Winterfell, a betrayal of his vows that results in the rebellion against him.
HBO
Recently, on his LiveJournal, George R.R. Martin answered a fan's question to confirm that, in his books, Stannis is alive.
The question, of course, is whether this is the same case in the TV show, as the two have diverged significantly, though it appeared that by the end of Season 5, the characters had ended up in broadly similar places.
There has been repeated speculation about whether Stannis is in fact dead, primarily due to the failure of the typically brutally violent show to actually show his death.
It's often accepted that when an audience isn't shown the body, it leaves a strong possibility that the character will return. Game of Thrones producer Dan Weiss told Entertainment Weekly in June that "If don’t see the body then they’re not really dead."
Additionally, some people have pointed out that based on the angle of the sword swipe, and the placement of the tree, Brienne's blow would have hit the tree before killing Stannis.
HBO / Via ew.com
However, in a Comic-Con panel in July, the director of the episode, David Nutter, confirmed that the intention was that he was dead.
So either there's some misdirection going on with the production team, or book Stannis is taking a very different journey to TV Stannis.
Flickr: gageskidmore / Via Gage Skidmore / Creative Commons
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George R.R. Martin Confirms Stannis Baratheon Is Not Dead