Shireen (aka CALM ME DOWN)

I think we're on the same page about it. I think they're putting Shireen/Gilly in for a reason. We could be reading too much into it I guess but its possible.

It just seems weird to me now that they'll take them to Winterfell and then go oh never mind go back to the Wall? Why take them at all then? Just to troll us? To say oh they'll be safer at the Wall oh wait oops? Ugh lol

Well, I think the one factor we're not, well, factoring in here is... winter.  Winter is, I believe, going to be a major player from here on out, til the end of the series.  Winter is not Coming.  Winter has Come. They can be a few days south of the Wall, enveloped by screaming winds, tents blowing away, horses foundering and breaking legs in deep snow, white-out blizzard conditions.  Then, Stannis can order that his family be sent back to the Wall.  It works, I think.

In light of those Ramsay/Stannis fight this season rumours I looked back at that Shireen scene. I think that this scene exists for more than to mention stonemen and greyscale. It's mostly there to show how much Stannis cares about his daughter and putting an emphasis on her being his only child.

So what is the other purpose/foreshadowing there?

1. adding to Stannis' motivation - Ned Stark's daughter is in WF and needs to be rescued, Stannis respected Ned and Ned would do the same for his child
2. Shireen gets taken by Ramsay, while Sansa joins Stannis? Hostage situation?
3. Stannis dies protecting Shireen?

I really cannot imagine Shireen or Stannis dying this season, also I think Melisandre's words about lord of light needing her aren't empty - there must be some purpose to Shireen, perhaps in the light of greyscale epidemic some speculated? But it's really hard to come up with anything - Shireen is now marching with the army, that is most likely going to be attacked this season and if Stannis dies, where would she go?

No, no, no.
The babies in 201 were genuine threats to the throne. Janos Slynt (PBUH) bravely took it upon himself to defeat them in battle. Such a brave man. Definitely not just a cowardly piece of shit.
I think the series is teasing Shireen's death so they can swing it and have Stannis save her
He didnt let Greyscale have her, he wont let Mel have her either!

So, I've assume forever that Stannis will die in the Battle of Winterfell. I've also heard people make good arguments for the Boltons dying. So, now I'm trying to guess based on what moves the plot best. If there were no more Stannis or no more Boltons, which force would be most lacking from the plot next season, the northern villains or the hero/king contender?

Edited to address the point of the OP: I can't talk you down. I fear for Shireen.

With 4 episodes left, I feel like Sansa, Theon, and Brienne's plot is largely accounted for this season. Sansa and Theon conspire to escape in 5x07 and light their candle, and Brienne helps them actually escape in 5x09ish. I don't see space for Shireen in what they're doing, so I doubt she is captured by the Boltons or Brienne. And presumably either Fat Walda or Myranda or both is going to be killed in an inter-Bolton power struggle. It doesn't make much sense to put Shireen inside Winterfell when there is already plenty going on there.

I also don't see her just being killed in a Ramsay raid. Shireen and Selyse could have easily been left at Dragonstone in season 3 for character economy. Melissandre's insistence that Shireen needs to come, Shireen's screen time at the Wall and the show's harping on greyscale all seem to be building toward something bigger than Ramsay suddenly slitting her throat.

I had hoped that Shireen would go with Sam and Gilly, but they are probably leaving the Wall soon and Shireen isn't likely to get back there in time to catch the boat. Anyway, the Night's Watch "kidnapping" Stannis' daughter would be a kind of bizarre plot point that would create a butterfly effect.

Melissandre vs. Davos is the most likely story with Shireen this season, with Yara as a possible wildcard, I think. Melissandre and Davos are both willing to go behind Stannis' back to do what they see as necessary regarding Shireen. And presumably Yara is going to emerge in the Stannis story at some point. The aftermath of whatever happens might be the reason that Melissandre ends up back at the Wall, or the reason that Davos goes off on solo adventures away from Stannis.

I'd also say that just because the show put a target on Shireen doesn't mean she's doomed anytime soon.  The leach prophesy still hasn't paid off with Balon's death; Tommen and Myrcella are alive and well despite the shroud prophesy, Dany's baby died soon after the "Stallion that mounts the world" prophesy.  I know there is a lot going on with the interpretation of many of the prophesies, I'm just saying that there has been misleading foreshadowing in the show, and the books absolutely revel in misdirection.  

This has now become my new favourite gif!

Nothing is happening to princess fawn

^ Me, too, forgot about the 'you will betray your family...'

Cripes.