There's Still Hope For These Dead Game of Thrones Characters — in the Books

How they die on the show: Pyp and Grenn, who are two of Jon's best friends in the Night's Watch, meet their end in season four during the epic battle at Castle Black against Mance Rayder and his wilding army (the same raid in which Ygritte is killed.)

Where they're last seen in the books: Pyp and Grenn are still alive and at Castle Black, though their friendship with Jon has become strained since he was instated as Lord Commander of the Night's Watch.