I believe every avid fan of Game of Thrones has his own favorite GOT character. And my sympathies to those fellows who mourn for the death of their beloved character thanks to the so-called homicidal tendencies of GOT showrunners, D.B. Weiss and Davis Benioff.
As you begin to search for another character to which you may affiliate yourself with the upcoming season 6 of Game of Thrones, it would be good for you postpone such act and know that your beloved dead character may perhaps be alive. Your character that might be dead on the HBO series might be perhaps well and alive in the books. This might not surprise a George R. R. Martin reader, but for those people who are only inclined to see moving objects inside a box, this may encourage you to venture into the other side of the epic series "A Song of Ice and Fire." It's getting more and more confusing for both readers and viewers alike to remember which storylines have happened in which version. And good for you if you haven't really delved deeper into its paperback counterpart, you can still distinguish which part is for what particular version.
To help you simplify things and usher in the idea of reading the book as to serve as a mental floss on the ever confusing plot twist and turns, below would be some list of characters who are still alive on the books but dead on the show. And hopefully your favorite character is part of the list. If by chance you character is not on it, then continue the idea of choosing another one for the upcoming season.
JEYNE WESTERLING/TALISA OF VOLANTIS
The Mrs. King of the North is actually alive and her late husband in the book. And she was seen killed during the Red Wedding together with her husband on the TV series. By the way her name on the book was JEYNE WESTERLING, while she was known as TALISA OF VOLANTIS on the other version.
SHIREEN BARATHEON
Considered as one of the most gruesome scenes of Game Of Thrones, Stannis Baratheon sacrificial act might not be true on the book. Yes, Shireen and her mother Selyse are still alive and at the Castle Black for now.
BARRISTAN SELMY
The former knight and hardcore Daenerys ally wasn't slain by the group of insurgents known as the Sons of the Harpy. For in the book he became the "Hand of the Queen" after Daenerys disappears from Meereen.
CATELYN STARK
Okay she's dead in the book and as well as on the TV Series. But the only difference is she will be returning as a zombie on the novel as Lady Stoneheart. And there are still no signs of her return on the series, and even actress Michelle Fairley has said that her character won't be coming back on the series.
Jon Snow
He is dead and presumed dead on both versions, plain and simple.
The list in itself is not exhaustive. And to somehow give you a wider picture on the real score for both versions, perhaps this chart (click this link) would be of great service.