As one might have guessed after the ship battle scene in episode two, Euron Greyjoy's (Pilou Asbæk) "gift" for Cersei was actually three items — or rather, three women. The neurotic uncle of poor Theon Greyjoy (Alfie Allen) delivered his niece, Yara Greyjoy (Gemma Whelan), along with Ellaria Sand (Indira Varma) and her only remaining living daughter, Tyene Sand (Rosabell Sellers), as symbols of his loyalty to his new queen, Cersei. Like a cat playing with her toys, Cersei immediately takes her pawns into a creaky dungeon to torture them to death. This isn't that surprising since Ellaria did kill her daughter, Myrcella (Nell Tiger Free), with poison. But the extent to which Cersei reveals she is enacting her revenge is specifically mad. And, as Vanity Fair points out, could be a hint at her own future demise.
As the potential new "Mad Queen," the show runners seem to be encouraging fans to link her current behaviour to the Mad King Aerys, who also tortured a parent-child duo to death — Brandon and Rickard Stark, the father and brother of Ned Stark. As the story goes, the Mad King had 500 men witness the brutal deaths of the Stark men — you can read about the disturbing details in the VF story if you so wish — and their circumstances are eerily similar to those that Cersei is placing the Sand women in. Namely, that the parent will be just out of arm's reach to save their child. Their main punishment (before death) is watching their beloved die in front of them.
And do you remember who killed the Mad King? ... Do you?!
It was one Jaime Lannister (Nikolaj Coster-Waldau). He killed the king after witnessing enough of his brutal acts. The unofficial good twin of Westeros put a stop to one mad ruler, and it's not impossible to consider that he may do it once again.