A) Stannis never 'led' any attack in the show. He just stayed on his boat and commanded like the commander he is, letting his loyal men get on with the assaut. His boat happened to be at the back of the pack so it didn't explode in any of the bomb-boats, nor get catapulted etc, nor get trapped by Tyrion's mega-chain[1]. So after the attack failed and Lannister reinforcements arrived he + the ragtag survivers are free to just sail off. The show essentially wrote him into a stupid position by making him be first up the ladder with no helmet or shield and then didn't explain how he got free. Stannis in the books is not the kind of man to risk everything leading a charge. He could easily have been rock-to-face'd or arrow'd-to-death. What use is the attack if the king you're trying to put on the throne is dead? He's also not the kind of man to choke a bitch, as he did in the last episode, at least not in my opinion. Both are interesting additions in the TV series.

In the books the Witch blames their lost on the fact that she wasn't at the battle, after Stannis and Davos decide to leave her on Dragonstone. Mostly because the people of Kings Landing might not be so receptive to a foreign sorcororor.

(spoilered because I realise some people might think Brann dead. If you're reading this and you think he is dead, then I guess it was actually episode 6.. )
Brann is safe as they're hidden in the crypts that are very deep, dark and basically no one goes down, so most people don't realise they're there. Theon probably knew they were there as he grew up in Winterfell, but random invaders probably wouldn't. The entrance is near a crumbling tower (the one Brann was pushed off in episode 1), so it's not the kind of area pillagers would go looking for.

b) Winterfell: Ramsay Bolton (The legitimised bastard Reese Bolton continually refers to in each episode) is basically a nut job. Probably because he's a bastard born of rape who was raised in a mill and never had a real daddy, etc. Anyway, he hears that some local lords died in the war, so he got some of his farthers men together and went on a random rape+pillage of their own lands for fun. Rodrick Cassel, the barrel-chested mutton chop guy in the show, was in charge of Winterfell whilst Robb was away, so he takes some winterfell men out and kicks his ass. I can't remember if that's in the TV show or not? I remember Rodrick leading some men in the TV show though, but that was probably just against Ironborn? Anyway, Ramsay avoids death from Rodrick's men by swapping clothes with his best-mate, a smelly peasent man-servent called 'Reek'. Rodrick kills the fake 'Ramsay' in the field and imprisons Reek + others in the Winterfell dungeons. He then goes off to fight other random Ironborn people, as by this time he's heard of their attacks.

Whilst Rocrick is away fighting the Ironborn invaders, Theon+Ironborn come and take Winterfell and they let out the prisoners and ask them to join them, or maybe Reek convinces them because he's a slimy git? No idea. But either way Theon+co (and also the reader) have no idea he's Ramsay Bolton at this point. Anyway, fake-Reek joins their possee and generally be's evil. He's the one who has the idea of stringing up the miller's boys when they can't find Brann and he mutilates the bodies because he's a psycho and to help make the bodies ambiguous.

Then Rodrick Cassal returns, finds Winterfell under Theon's hands, and starts sieging it to take it back. Hopelessly outnumbered, fake-Reek convinces Theon that, because he used to be a Dreadfort soldier, he can probably go and round up some soliders and attack the rear. So he escapes off on a horse and does that. When he comes back he's dressed like a proper Dreadfort soldier with lots of Dreadfort men flying the Dreadfort banner, whom Rodrik believes are friendly as Roose Bolton is with Robb etc. They technically should be friendly, but these aren't really Dreadfort soldiers, they're Ramsay's psycho crew borring a bit of Daddy's uniforms. So fake-Reek just stabs Rodrik in the face when he's greeting them and his dreadfort men kill all the Winterfell men who are sieging Winterfell. They probably wee on the bodies or somethinga afterwards.

I'll end there as any further events won't be seen until Season3.

TL;DR: Reek/Ramsay, the bastard-born person who is sieging Winterfell in the TV show, is a bit of a psycho, and when they finally get into Winterfell they torch and rape the place because they're all mad and like a bit of rape and pillaging and so on.

I guess they left out any explaination of who did the torching to make you tune in to Season 3 to find out if Ironborn or the Siegers did it. But given the absoulte lack of information given in the show it's just plain confusing rather than tantilising.


[1] Tyrion's mega-chain (absent from the show), but they basically built a giant chain across the mouth of the bay, rested it on the sea-bed, then raised it up as they sent the first bomb boats out, trapping lots of ships inside the mega-death arena.)