Quick Answer: Cersei Lannister's walk of shame in the Season 5 final of Game of Thrones (2011) is a pivotal moment for her character, and was a difficult moment to shoot. Inspired by a similar penance for Jane Shore, one of King Edward IV's mistresses, the walk speaks to the treatment of women both in history and in Westeros.

The Game of Thrones (2011) Season 5 finale, “Mother’s Mercy,” revealed the famous walk of shame for Queen Mother Cersei Lannister (Lena Headey). Having spent half the season in a terrible prison cell, Cersei was given the opportunity to confess her wrongdoings to the High Sparrow (Jonathan Price). Her hair was first chopped off, destroying the outward image of perfection so important to Cersei’s persona.  She then had to walk naked through the public streets back to the Red Keep, barefoot and bloodied, as jeering crowds threw garbage and obscenities at her. 

According to Time, George R.R. Martin based the walk of shame on a similar penance for Jane Shore, one of King Edward IV’s mistresses, who endured a similar walk through London in the 15th century. For Cersei’s character, it was a devastating and humiliating low, and is unlike anything anyone has ever seen on television before. As Martin told James Hibberd of EW, “It was a punishment directed at women to break their pride. And Cersei is defined by her pride.”

The scene itself was long and expensive. It took about 3 days to film, and a lot of cash. Businesses needed to close. Tons of extras needed to be hired. Security was tight. NDAs (non-disclosure agreements) threatened huge fines if anyone took a cell phone picture. And the Dubrovnik Church of St. Nicholas, which the show uses as The Great Sept, would not allow nudity on its grounds, so a set had to be built for parts of the scene. The show hired director David Nutter, also responsible for the series’ third season episode “The Rains of Castemere,” famous for its traumatic Red Wedding sequence, to direct the episode.

It was an emotional experience for Lena, who believes Cersei didn’t deserve that level of punishment, despite being one of the most authentically evil characters in the Game of Thrones world. But it was easy for her to connect with the character and bring authenticity to the depravity in Cersei’s situation.

She told EW, “It’s not hard when people are screaming at you and you look like shit and you’re being f–king humiliated to figure out how that would feel,” Headey says. “There’s a part of you that’s f–king terrified. I can’t even imagine people wanting your blood. Cersei has done wrong, but she doesn’t really deserve this.”

“As Cersei makes her walk," Headey said to Vulture, "she's telling herself over and over, 'This is going to be all right.' That's what she believes, more than anyone else in the world, 'You will survive,'" the actress said. "Otherwise, you'll just kill yourself. So she's either going to die, or these lessons are going to help her in some way."' 

Headey used a body double for the nude scene for reasons unknown.  Speculations include that because Headey was pregnant, she did not want to be filmed fully nude and that her extensive tattoos may have been more difficult to erase in the editing room. As with several other plotlines within Game of Thrones, the walk of shame caught the television series up with as much as has been written for Cersei’s character in the book series thus published. What happens next will be new for everyone.