How he dies on the show: After being kept prisoner at Castle Black, Mance chooses to be burned at the stake rather than kneel to Stannis.
Where he's last seen in the books: In a similar fashion to what happens on the show, Mance is burned alive in A Dance With Dragons, but there's a twist. As it turns out, it only appears that Mance is killed, because Melisandre has used magic to make Rattleshirt look like Mance, and it's actually Rattleshirt who is burned at the stake. In turn, Mance has been glamoured to look like Rattleshirt. Mance is last seen at Winterfell, where he's been sent to stop Ramsay's wedding at Jon's urging. (In the book, Jon mistakenly believes that Ramsay is set to marry Arya, when in reality he's marrying a different girl who is posing as Arya, and the real Arya is in Braavos.)
