Danielo is referring to a television show on HBO (not giving the name, cause spoliers), not his actual parents.
I had already read the books, so I knew what was going to happen. But even still, it was pretty uh... depressing. I watch the show with a group of friends and we all just kind of sat around being sad a minute after the episode was over.
All in all, though, it was a boring season and they were boring characters. I'm pretty upset about the wolf (and the baby), though.